Calibration of the Hobson&Rogers model: empirical tests

Foschi, P. and Pascucci, A. (2005) Calibration of the Hobson&Rogers model: empirical tests. [Preprint]
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Abstract

The path-dependent volatility model by Hobson and Rogers is considered. It is known that this model can potentially reproduce the observed smile and skew patterns of different directions, while preserving the completeness of the market. In order to quantitatively investigate the pricing performance of the model a calibration procedure is here derived. Numerical results based on S&P500 option prices give evidence of the effectiveness of the model.

Abstract
Document type
Preprint
Creators
CreatorsAffiliationORCID
Foschi, P.
Pascucci, A.
Subjects
DOI
Deposit date
14 Feb 2005
Last modified
16 May 2011 11:38
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