Path dependent volatility

DOI10.1007/s10203-007-0076-6zbMath1160.35457MaRDI 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 pricing; Kolmogorov equations; volatility modeling

Mathematics Subject Classification ID

35K65: Degenerate parabolic equations

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Robustness for path-dependent volatility models, Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators, 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, Functional Itô calculus, path-dependence and the computation of Greeks, Finite-dimensional representations for controlled diffusions with delay, The polynomial sub-Riemannian differentiability of some Hölder mappings of Carnot groups, SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

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