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On the complete model with stochastic volatility by Hobson and Rogers >
Abstract
On the complete model with stochastic volatility by Hobson and Rogers
Abstract
In the complete model with stochastic volatility by Hobson and Rogers, preference independent
options prices are solutions to degenerate PDEs obtained by including additional state
variables describing the dependence on past prices of the underlying. In this note, we aim to
emphasize the mathematical tractability of the model by presenting analytical and numerical
results comparable with the known ones in the classical Black-Scholes environment.
M. Di Francesco, A. Pascucci www.dm.unibo.it/~pascucci
On the complete model with stochastic volatility by Hobson and Rogers
In this note, we aim to emphasize the mathematical tractability of the model by presenting analytical and numerical results comparable with the known ones in the classical Black-Scholes environment.
M. Di Francesco e Andrea Pascucci