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
收藏
页码：2219 / 2235
页数：17
相关论文
共 50 条
  • [1] Volatility is (mostly) path-dependent
    Guyon, Julien
    Lekeufack, Jordan
    [J]. QUANTITATIVE FINANCE, 2023, 23 (09) : 1221 - 1258
  • [2] Robustness for path-dependent volatility models
    Rosestolato, Mauro
    Vargiolu, Tiziano
    Villani, Giovanna
    [J]. DECISIONS IN ECONOMICS AND FINANCE, 2013, 36 (02) : 137 - 167
  • [3] Implied volatility (also) is path-dependent
    Andrès, Hervé
    Boumezoued, Alexandre
    Jourdain, Benjamin
    [J]. arXiv, 2023,
  • [4] Marginal distribution of some path-dependent stochastic volatility model
    Sekine, Jun
    [J]. STATISTICS & PROBABILITY LETTERS, 2008, 78 (13) : 1846 - 1850
  • [5] Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
    Bain, Alan
    Mariapragassam, Matthieu
    Reisinger, Christoph
    [J]. JOURNAL OF COMPUTATIONAL FINANCE, 2021, 24 (04) : 115 - 161
  • [6] PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
    Campolieti, Giuseppe
    Makarov, Roman
    [J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2007, 10 (01) : 51 - 88
  • [7] Modelling electricity futures prices using seasonal path-dependent volatility
    Fanelli, Viviana
    Maddalena, Lucia
    Musti, Silvana
    [J]. APPLIED ENERGY, 2016, 173 : 92 - 102
  • [8] Robustness of delta hedging for path-dependent options in local volatility models
    Schied, Alexander
    Stadje, Mitja
    [J]. JOURNAL OF APPLIED PROBABILITY, 2007, 44 (04) : 865 - 879
  • [9] A path-dependent constitutive model for gilding copper
    Gould, PJ
    Goldthorpe, BD
    [J]. JOURNAL DE PHYSIQUE IV, 2000, 10 (P9): : 39 - 44
  • [10] A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
    Ballestra, Luca Vincenzo
    Pacelli, Graziella
    Zirilli, Francesco
    [J]. JOURNAL OF BANKING & FINANCE, 2007, 31 (11) : 3420 - 3437
12345