Marginal distribution of some path-dependent stochastic volatility model

被引：2

作者：

Sekine, Jun ^{[1
]}

机构：

[1] Kyoto Univ, Inst Econ Res, Sakyo Ku, Kyoto 6068501, Japan

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 13期

关键词：

D O I：

10.1016/j.spl.2008.01.039

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A Hobson-Rogers [Hobson, D.G., Rogers, L.C.G. 1998. Complete models with stochastic volatility. Math. Finance 8 (1) 27-48] type "path-dependent" stochastic volatility model is solved explicitly, and the Laplace transform of its marginal distribution is computed in a closed form. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：1846 / 1850

页数：5

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