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Valuation of derivatives is one of the most discussed topics of scientific treatises. In this paper we assess the likely impact of uncertainty on the price volatility of derivative. Results are presented on the example of the European digital option. It has been shown non-trivial dependence of the span of the confidence interval of the model parameters
This paper presents a procedure for determining the value at risk ranges covering European options with a given level of confidence. Interval forecast VaR takes into account the uncertainty associated with the estimation error of the model parameters used. Option pricing model adapted Black-Sholes, and studies based on simulations.
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