Abstract
In this paper, we study the asymptotic behavior of the worst case scenario option prices as the volatility interval in an uncertain volatility model (UVM) degenerates to a single point and then provide an approximation procedure for the worst case scenario prices in a UVM with a small volatility interval. Numerical experiments show that this approximation procedure performs well even when the size of the volatility band is not so small.
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More From: SIAM Journal on Financial Mathematics
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