Avellaneda, Marco; Buff, Robert - In: Applied Mathematical Finance 6 (1999) 1, pp. 1-18
Extensions to the Black-Scholes model have been suggested recently that permit one to calculate worst-case prices for a portfolio of vanilla options or for exotic options when no a priori distribution for the forward volatility is known. The Uncertain Volatility Model (UVM) by Avellaneda and...