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European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty. / Cohen, Samuel N.; Tegnér, Martin.
Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications: Selected, Revised and Extended Contributions. red. / Samuel N. Cohen; István Gyöngy; Gon?alo dos Reis; David Siska; Lukasz Szpruch. Springer, 2019. s. 123-167 (Springer Proceedings in Mathematics and Statistics, Bind 289).
Publikation: Bidrag til bog/antologi/rapport › Konferencebidrag i proceedings › Forskning › fagfællebedømt
Harvard
Cohen, SN & Tegnér, M 2019,
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty. i SN Cohen, I Gyöngy, G dos Reis, D Siska & L Szpruch (red),
Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications: Selected, Revised and Extended Contributions. Springer, Springer Proceedings in Mathematics and Statistics, bind 289, s. 123-167, International Workshop on BSDEs, SPDEs and their Applications, BSDE-SPDE 2017, Edinburgh, Storbritannien,
03/07/2017.
https://doi.org/10.1007/978-3-030-22285-7_5APA
Cohen, S. N., & Tegnér, M. (2019).
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty. I S. N. Cohen, I. Gyöngy, G. dos Reis, D. Siska, & L. Szpruch (red.),
Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications: Selected, Revised and Extended Contributions (s. 123-167). Springer. Springer Proceedings in Mathematics and Statistics Bind 289
https://doi.org/10.1007/978-3-030-22285-7_5Vancouver
Cohen SN, Tegnér M.
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty. I Cohen SN, Gyöngy I, dos Reis G, Siska D, Szpruch L, red., Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications: Selected, Revised and Extended Contributions. Springer. 2019. s. 123-167. (Springer Proceedings in Mathematics and Statistics, Bind 289).
https://doi.org/10.1007/978-3-030-22285-7_5Author
Cohen, Samuel N. ; Tegnér, Martin. / European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty. Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications: Selected, Revised and Extended Contributions. red. / Samuel N. Cohen ; István Gyöngy ; Gon?alo dos Reis ; David Siska ; Lukasz Szpruch. Springer, 2019. s. 123-167 (Springer Proceedings in Mathematics and Statistics, Bind 289).
Bibtex
@inproceedings{c0efe55c81e444889ba44012e79b82f2,
title = "European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty",
abstract = "We consider stochastic volatility models under parameter uncertainty and investigate how model derived prices of European options are affected. We let the pricing parameters evolve dynamically in time within a specified region, and formalise the problem as a control problem where the control acts on the parameters to maximise/minimise the option value. Through a dual representation with backward stochastic differential equations, we obtain explicit equations for Heston{\textquoteright}s model and investigate several numerical solutions thereof. In an empirical study, we apply our results to market data from the S&P 500 index where the model is estimated to historical asset prices. We find that the conservative model-prices cover 98% of the considered market-prices for a set of European call options.",
keywords = "Model uncertainty, Option pricing, Stochastic volatility",
author = "Cohen, {Samuel N.} and Martin Tegn{\'e}r",
year = "2019",
doi = "10.1007/978-3-030-22285-7_5",
language = "English",
isbn = "9783030222840",
series = "Springer Proceedings in Mathematics and Statistics",
publisher = "Springer",
pages = "123--167",
editor = "Cohen, {Samuel N.} and Istv{\'a}n Gy{\"o}ngy and {dos Reis}, Gon?alo and David Siska and Lukasz Szpruch",
booktitle = "Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications",
address = "Switzerland",
note = "International Workshop on BSDEs, SPDEs and their Applications, BSDE-SPDE 2017 ; Conference date: 03-07-2017 Through 07-07-2017",
}
RIS
TY - GEN
T1 - European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty
AU - Cohen, Samuel N.
AU - Tegnér, Martin
PY - 2019
Y1 - 2019
N2 - We consider stochastic volatility models under parameter uncertainty and investigate how model derived prices of European options are affected. We let the pricing parameters evolve dynamically in time within a specified region, and formalise the problem as a control problem where the control acts on the parameters to maximise/minimise the option value. Through a dual representation with backward stochastic differential equations, we obtain explicit equations for Heston’s model and investigate several numerical solutions thereof. In an empirical study, we apply our results to market data from the S&P 500 index where the model is estimated to historical asset prices. We find that the conservative model-prices cover 98% of the considered market-prices for a set of European call options.
AB - We consider stochastic volatility models under parameter uncertainty and investigate how model derived prices of European options are affected. We let the pricing parameters evolve dynamically in time within a specified region, and formalise the problem as a control problem where the control acts on the parameters to maximise/minimise the option value. Through a dual representation with backward stochastic differential equations, we obtain explicit equations for Heston’s model and investigate several numerical solutions thereof. In an empirical study, we apply our results to market data from the S&P 500 index where the model is estimated to historical asset prices. We find that the conservative model-prices cover 98% of the considered market-prices for a set of European call options.
KW - Model uncertainty
KW - Option pricing
KW - Stochastic volatility
U2 - 10.1007/978-3-030-22285-7_5
DO - 10.1007/978-3-030-22285-7_5
M3 - Article in proceedings
AN - SCOPUS:85072829023
SN - 9783030222840
T3 - Springer Proceedings in Mathematics and Statistics
SP - 123
EP - 167
BT - Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications
A2 - Cohen, Samuel N.
A2 - Gyöngy, István
A2 - dos Reis, Gon?alo
A2 - Siska, David
A2 - Szpruch, Lukasz
PB - Springer
T2 - International Workshop on BSDEs, SPDEs and their Applications, BSDE-SPDE 2017
Y2 - 3 July 2017 through 7 July 2017
ER -
