SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL

DOI10.1142/S0219024909005294MaRDI QIDQ3637881zbMATH OpenOpenAlexFDO

Authors Reiichiro Kawai

Publication date 14 July 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024909005294

zbMATH Keywords

asset price dynamicsdensity estimationGARCHMarkov processessensitivity analysisstochastic volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A complete Markovian stochastic volatility model in the HJM framework
• Complete Models with Stochastic Volatility
• Marginal distribution of some path-dependent stochastic volatility model
• Path dependent volatility

Cited in

(11)

• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• On the density of log-spot in the Heston volatility model
• On the complete model with stochastic volatility by Hobson and Rogers
• Robustness of the Hobson-Rogers model with respect to the offset function
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
• Robustness for path-dependent volatility models
• Sensitivity analysis in the infinite dimensional Heston model
• Price sensitivities for a general stochastic volatility model
• The dynamics of Pareto distributed wealth in a small open economy
• Marginal distribution of some path-dependent stochastic volatility model
• Calibration of a path-dependent volatility model: empirical tests

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