Pricing European-options with α-hypergeometric stochastic volatility model under parameter uncertainty
Journal of Applied Mathematics and Computing 72, 232. With João Pedro Boto and Fernanda Cipriano.
Abstract
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.
Cite this article
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}
}
