most citedOption pricing with linear market impact and non-linear Black and Scholes equations

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math.OC2026

A posteriori error bounds for the Uncertain Volatility Model

Lokman A Abbas-Turki, Chassagneux Jean-Fran{\c c}ois, Jean-Philippe Lemor +2

We develop a posteriori primal-dual bounds for numerical approximations of European option prices in the Uncertain Volatility Model. Given a smooth candidate approximation of the v…