Pricing European-options with α-hypergeometric stochastic volatility model under parameter uncertainty
Journal of Applied Mathematics and Computing 72, 232. Com João Pedro Boto e Fernanda Cipriano.
Resumo
In this paper we study the pricing of European options in a financial market modeled by the α-hypergeometric stochastic volatility model. We consider a setting that accommodates for parameter uncertainty, which is introduced by assuming that the model parameters are not known exactly but rather estimated from statistical data. The uncertainty is represented by a compact set of admissible parameters and we derive conservative bounds for the option price by treating the problem as an optimal control problem.
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APA
Boto, J., Cipriano, F., & Rocha, P. (2026). Pricing European-options with α-hypergeometric stochastic volatility model under parameter uncertainty. Journal of Applied Mathematics and Computing, 72(9), Article 232. https://doi.org/10.1007/s12190-026-02888-8
BibTeX
@article{Boto2026,
author = {Boto, Jo{\~a}o and Cipriano, Fernanda and Rocha, Paulo},
title = {Pricing {European}-options with $\alpha$-hypergeometric stochastic volatility model under parameter uncertainty},
journal = {Journal of Applied Mathematics and Computing},
year = {2026},
volume = {72},
number = {9},
pages = {232},
doi = {10.1007/s12190-026-02888-8},
url = {https://doi.org/10.1007/s12190-026-02888-8}
}
