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Fitting prices with a complete model

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  • Figa-Talamanca, Gianna
  • Guerra, Maria Letizia

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 30 (2006)
Issue (Month): 1 (January)
Pages: 247-258

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Handle: RePEc:eee:jbfina:v:30:y:2006:i:1:p:247-258

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Web page: http://www.elsevier.com/locate/jbf

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References

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  1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  2. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
  3. Guerra, Maria Letizia & Sorini, Laerte, 2005. "Testing robustness in calibration of stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 163(1), pages 145-153, May.
  4. Sergio Pastorello, 1996. "Diffusion Coefficient Estimation And Asset Pricing When Risk Premia And Sensitivities Are Time Varying: A Comment," Mathematical Finance, Wiley Blackwell, vol. 6(1), pages 111-117.
  5. Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32.
  6. Marc Chesney & Robert J. Elliott & Dilip Madan & Hailiang Yang, 1993. "Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 85-99.
  7. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
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Cited by:
  1. Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani, 2013. "Robustness for path-dependent volatility models," Decisions in Economics and Finance, Springer, vol. 36(2), pages 137-167, November.
  2. Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.
  3. Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.

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