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

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q-fin.CP2026

Stochastic Policy Gradient Methods in the Uncertain Volatility Model

Lokman A Abbas-Turki, Jean-François Chassagneux, Jean-Fran{\c c}ois Chassagneux +4

The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becom…