Robustness for path-dependent volatility models

DOI10.1007/S10203-012-0128-4MaRDI QIDQ377786zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Path dependent volatility
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• Financial models with dependence on the past: a survey
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Cites work

• scientific article; zbMATH DE number 1250541 (Why is no real title available?)
• scientific article; zbMATH DE number 503430 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A complete Markovian stochastic volatility model in the HJM framework
• Calibration of a path-dependent volatility model: empirical tests
• Complete Models with Stochastic Volatility
• Financial models with dependence on the past: a survey
• Marginal distribution of some path-dependent stochastic volatility model
• On the complete model with stochastic volatility by Hobson and Rogers
• Path dependent volatility
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• Robustness of the Hobson-Rogers model with respect to the offset function
• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

Cited in

(7)

• Robustness of Hilbert space-valued stochastic volatility models
• Path dependent volatility
• Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
• Calibration of a path-dependent volatility model: empirical tests
• Financial models with dependence on the past: a survey
• Robustness of the Hobson-Rogers model with respect to the offset function
• scientific article; zbMATH DE number 5853093 (Why is no real title available?)

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