M. Di Francesco e Andrea Pascucci

On the complete model with stochastic volatility by Hobson and Rogers

Keywords:
Modelli Econometrici
Black–Scholes model; stochastic volatility; path-dependent contingent claim; Kolmogorov equation; hypoelliptic equation

In this note, we aim to emphasize the mathematical tractability of the model by presenting analytical and numerical results comparable with the known ones in the classical Black-Scholes environment.

M. Di Francesco e Andrea Pascucci

Summary:

• Abstract

• Introduction

• Kolmogorov equations

• A numerical scheme

• Reference

•Books Related