On the complete model with stochastic volatility by Hobson and Rogers

By Marco Di Francesco, Andrea Pascucci. Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, 2004

53 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/944bead6b15724642c3c754b7880313c898d9f66

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In Finance

1. Andrea Pascucci
2. Sergio Polidoro

Citations in the corpus

• Schauder estimates, Harnack inequality and Gaussian lower bound for Kolmogorov-type operators in non-divergence form (2006, unknown): “Moreover, in the stochastic volatility model by Hobson & Rogers, the price of an European option is given by a solution of the equation 1 2 σ(2)(S −M)(∂SSV − ∂SV ) + (S −M)∂MV − ∂tV = 0, for some positive continuous function σ (see [16] and [10]).”
• Pointwise estimates for a class of non-homogeneous Kolmogorov equations (2008, background): “for some positive continuous function σ (see [15] and [9]).”