| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 416118 | Computational Statistics & Data Analysis | 2009 | 17 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Paolo Foschi, Andrea Pascucci,