SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

DOI10.1142/S0219024909005294zbMath1179.91262OpenAlexW1993929029MaRDI QIDQ3637881

Reiichiro Kawai

Publication date: 14 July 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005294

zbMATH Keywords

sensitivity analysisstochastic volatilityMarkov processesGARCHdensity estimationasset price dynamics

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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Cites Work

• Path dependent volatility
• Marginal distribution of some path-dependent stochastic volatility model
• A complete Markovian stochastic volatility model in the HJM framework
• Complete Models with Stochastic Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options