Fitting prices with a complete model
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References listed on IDEAS
- 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.
- 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 637-654, May-June.
- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
- Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32.
- 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.
- 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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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2015. "Option prices by differential evolution," Working Papers 1511, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2015.
- Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2013. "Value function computation in fuzzy models by differential evolution," Working Papers 1311, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2013.
- Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani, 2013. "Robustness for path-dependent volatility models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 137-167, November.
- Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.
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