Faria, Gonçalo; Correia-da-Silva, João - In: Review of Derivatives Research 17 (2014) 2, pp. 125-159
We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset’s return. The option pricing formula of Heston (Rev Financ Stud 6(2):327–343, <CitationRef CitationID="CR43">1993</CitationRef>) is a particular case of...</citationref>
