Path dependent volatility
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DOI: 10.1007/s10203-007-0076-6
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- Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany.
References listed on IDEAS
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Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
- Andrea, Pascucci, 2007. "Free boundary and optimal stopping problems for American Asian options," MPRA Paper 4766, University Library of Munich, Germany.
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- Rama Cont, 2006. "Model Uncertainty And Its Impact On The Pricing Of Derivative Instruments," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 519-547, July.
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Citations
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Cited by:
- Marcel Nutz & Andr'es Riveros Valdevenito, 2023. "On the Guyon-Lekeufack Volatility Model," Papers 2307.01319, arXiv.org, revised Jul 2024.
- Jazaerli, Samy & F. Saporito, Yuri, 2017. "Functional Itô calculus, path-dependence and the computation of Greeks," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3997-4028.
- Sekine, Jun, 2008. "Marginal distribution of some path-dependent stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1846-1850, September.
- Andrea Pascucci, 2008.
"Free boundary and optimal stopping problems for American Asian options,"
Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
- Andrea, Pascucci, 2007. "Free boundary and optimal stopping problems for American Asian options," MPRA Paper 4766, University Library of Munich, Germany.
- Ofelia Bonesini & Giorgia Callegaro & Martino Grasselli & Gilles Pag`es, 2023. "From elephant to goldfish (and back): memory in stochastic Volterra processes," Papers 2306.02708, arXiv.org, revised Jan 2025.
- Marcel Nutz & Andrés Riveros Valdevenito, 2024. "On the Guyon–Lekeufack volatility model," Finance and Stochastics, Springer, vol. 28(4), pages 1203-1223, October.
- 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.
- Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany.
- 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.
- Jun Sekine, 2008. "A Note On The Risk-Premium Process In An Equilibrium," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(07), pages 705-716.
- Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
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More about this item
Keywords
Option pricing; Kolmogorov equations; Volatility modeling; CO 2 ; 35K65; 91B28;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
Statistics
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