2 papers
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…
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…