On the complete model with stochastic volatility by Hobson and Rogers
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References listed on IDEAS
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- 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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- Cristina Costantini & Marco Papi & Fernanda D’Ippoliti, 2012. "Singular risk-neutral valuation equations," Finance and Stochastics, Springer, vol. 16(2), pages 249-274, April.
- 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.
More about this item
KeywordsBlack-Scholes model; stochastic volatility; path-dependent option; hypoelliptic equation;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
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