Calibration of the Hobson&Rogers model: empirical tests

Foschi, P. ; 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
Tipologia del documento
Preprint
Autori
AutoreAffiliazioneORCID
Foschi, P.
Pascucci, A.
Settori scientifico-disciplinari
Area 13 - Scienze economiche e statistiche > SECS-P/06 Economia applicata
DOI
10.6092/unibo/amsacta/924
Data di deposito
14 Feb 2005
Ultima modifica
16 Mag 2011 11:38
URI
https://amsacta.unibo.it/id/eprint/924

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