Calibration of a path-dependent volatility model: Empirical tests
نویسندگان
چکیده
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 model. Numerical results based on S&P500 option prices are discussed.
منابع مشابه
Calibration of the Hobson&Rogers model: empirical tests
The path-dependent volatility model by Hobson and Rogers is considered. It is known that this model can potentially reproduce the observed smile and skew patterns of different directions, while preserving the completeness of the market. In order to quantitatively investigate the pricing performance of the model a calibration procedure is here derived. Numerical results based on S&P500 option pr...
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 53 شماره
صفحات -
تاریخ انتشار 2009