Computing Black Scholes with Uncertain Volatility—A Machine Learning Approach

Computing Black Scholes with Uncertain Volatility—A Machine Learning Approach

In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete nature of market data. We thus model the pricing process of fina...

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Bibliographic Details
Main Authors: Kathrin Hellmuth, Christian Klingenberg
Format: Article
Language:English
Published: MDPI AG 2022-02-01
Series:Mathematics
Subjects:
numerical finance
Black Scholes equation
uncertainty quantification
uncertain volatility
polynomial chaos
Bi-Fidelity method
Online Access:https://www.mdpi.com/2227-7390/10/3/489

Internet

https://www.mdpi.com/2227-7390/10/3/489

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