Path dependent volatility

DOI10.1007/s10203-007-0076-6zbMath1160.35457OpenAlexW2134782785MaRDI QIDQ940996

Paolo Foschi, Andrea Pascucci

Publication date: 4 September 2008

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: http://amsacta.unibo.it/2263/1/PDV.pdf

zbMATH Keywords

option pricingKolmogorov equationsvolatility modeling

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

The polynomial sub-Riemannian differentiability of some Hölder mappings of Carnot groups ⋮ Robustness for path-dependent volatility models ⋮ Functional Itô calculus, path-dependence and the computation of Greeks ⋮ Intrinsic Taylor formula for Kolmogorov-type homogeneous groups ⋮ Free boundary and optimal stopping problems for American Asian options ⋮ Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options ⋮ Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators ⋮ SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL ⋮ Finite-dimensional representations for controlled diffusions with delay

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• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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