منابع مشابه
Path dependent volatility
We propose a general class of non-constant volatility models with dependence on the past. The framework includes path-dependent volatility models such as that by Hobson and Rogers and also path dependent contracts such as options of Asian style. A key feature of the model is that market completeness is preserved. Some empirical analysis, based on the comparison with standard local volatility an...
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In modern asset price models, stochastic volatility plays a crucial role explaining several stylized facts of returns. Recently, Barndorff-Nielsen and Shephard [4] introduced a class of stochastic volatility models (the so called BNS SV model) based on superposition of Ornstein-Uhlenbeck processes driven by subordinators. The BNS SV model forms a flexible class, which can easily explain heavy-t...
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The Hobson and Rogers model for option pricing is considered. This stochastic volatility model preserves the completeness of the market and can potentially reproduce the observed smile and term structure patterns of implied volatility. A calibration procedure based on ad-hoc numerical schemes for hypoelliptic PDEs is proposed and used to quantitatively investigate the pricing performance of the...
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Local volatilities in multi-asset models typically have no cross-asset dependency. In this talk, we propose a general framework for pricing and hedging derivatives in cross-dependent volatility (CDV) models, i.e., multi-asset models in which the volatility of each asset is a function of not only its current or past levels, but also those of the other assets. For instance, CDV models can capture...
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This paper shows how one can obtain a continuous-time preference-free option pricing model with a path-dependent volatility as the limit of a discrete-time GARCH model. In particular, the continuous-time model is the limit of a discrete-time GARCH model of Heston and Nandi (1997) that allows asymmetry between returns and volatility. For the continuous-time model, one can directly compute closed...
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ژورنال
عنوان ژورنال: Decisions in Economics and Finance
سال: 2007
ISSN: 1593-8883,1129-6569
DOI: 10.1007/s10203-007-0076-6