Marginal distribution of some path-dependent stochastic volatility model

DOI10.1016/j.spl.2008.01.039zbMath1310.91138OpenAlexW1983586328MaRDI QIDQ947188

Jun Sekine

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.039

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Robustness for path-dependent volatility models ⋮ Calibration of a path-dependent volatility model: empirical tests ⋮ SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

Cites Work

• Unnamed Item
• On the complete model with stochastic volatility by Hobson and Rogers
• On some exponential functionals of Brownian motion
• Complete Models with Stochastic Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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