Marginal distribution of some path-dependent stochastic volatility model

DOI10.1016/J.SPL.2008.01.039MaRDI QIDQ947188zbMATH OpenOpenAlexFDO

Authors 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

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

Recommendations

• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
• On the complete model with stochastic volatility by Hobson and Rogers
• Calibration of a path-dependent volatility model: empirical tests
• Asymptotic behavior of distribution densities in models with stochastic volatility. I.
• Path dependent volatility

Cites work

• scientific article; zbMATH DE number 1619473 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Complete Models with Stochastic Volatility
• On some exponential functionals of Brownian motion
• On the complete model with stochastic volatility by Hobson and Rogers

Cited in

(4)

• Calibration of a path-dependent volatility model: empirical tests
• Marginal distribution of Markov-switching <scp>VAR</scp> processes
• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
• Robustness for path-dependent volatility models

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