Robustness for path-dependent volatility models
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Publication:377786
DOI10.1007/s10203-012-0128-4zbMath1277.91141OpenAlexW1993592365MaRDI QIDQ377786
Giovanna Villani, Mauro Rosestolato, Tiziano Vargiolu
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
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)
Cites Work
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- RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
- SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
- Complete Models with Stochastic Volatility
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