Robustness for path-dependent volatility models

DOI10.1007/S10203-012-0128-4zbMATH Open1277.91141OpenAlexW1993592365MaRDI QIDQ377786FDOQ377786

Authors: Mauro Rosestolato, Tiziano Vargiolu, Giovanna Villani 

Publication date: 7 November 2013

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

Full work available at URL: https://doi.org/10.1007/s10203-012-0128-4

Recommendations

• Path dependent volatility
• Robustness of the Hobson-Rogers model with respect to the offset function
• Financial models with dependence on the past: a survey
• Calibration of a path-dependent volatility model: empirical tests
• Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models

zbMATH Keywords

Hobson-Rogers modelpath-dependent volatility models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
• Complete Models with Stochastic Volatility
• Title not available (Why is that?)
• A complete Markovian stochastic volatility model in the HJM framework
• On the complete model with stochastic volatility by Hobson and Rogers
• Financial models with dependence on the past: a survey
• Robustness of the Hobson-Rogers model with respect to the offset function
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
• Title not available (Why is that?)
• Path dependent volatility
• Marginal distribution of some path-dependent stochastic volatility model
• Calibration of a path-dependent volatility model: empirical tests

Cited In (7)

• Path dependent volatility
• Calibration of a path-dependent volatility model: empirical tests
• Robustness of the Hobson-Rogers model with respect to the offset function
• Financial models with dependence on the past: a survey
• Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
• Robustness of Hilbert space-valued stochastic volatility models
• Title not available (Why is that?)

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