Article ID Journal Published Year Pages File Type
1154640 Statistics & Probability Letters 2008 5 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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