Calibration of a path-dependent volatility model: Empirical tests

被引：3

作者：

Foschi, Paolo ^{[1
]}

Pascucci, Andrea ^{[2
]}

机构：

[1] Univ Bologna, Fac Econ, I-47100 Forli, Italy

[2] Univ Bologna, Dept Math, I-40126 Bologna, Italy

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2009年 / 53卷 / 06期

关键词：

OPTIMAL STOPPING PROBLEMS; STOCHASTIC VOLATILITY; DIFFUSION; EQUATIONS; TIME;

D O I：

10.1016/j.csda.2008.10.042

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2219 / 2235

页数：17

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