Abstract
In the framework of stochastic optimal control theory, we get the nonlinear terminal-boundary value problems satisfied, in the sense of viscosity solutions, by the worst case values of the barrier options with uncertain volatilities. We also prove that the out-in parity does not hold in uncertain volatility model.
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Fan, Y. (2011). The Nonlinear Terminal-Boundary Problems for Barrier Options. In: Li, S., Wang, X., Okazaki, Y., Kawabe, J., Murofushi, T., Guan, L. (eds) Nonlinear Mathematics for Uncertainty and its Applications. Advances in Intelligent and Soft Computing, vol 100. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22833-9_32
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DOI: https://doi.org/10.1007/978-3-642-22833-9_32
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-22832-2
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