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Title: Sensitivity analysis and Density Estimation for the Hobson-Rogers Stochastic Volatility Model.
Authors: Kawai, Reiichiro
First Published: 2009
Publisher: World Scientific Publishing
Citation: International Journal of Theoretical and Applied Finance, 2009, 12 (3), pp. 283-295.
Abstract: Monte Carlo estimators of sensitivity indices and the marginal density of the price dynamics are derived for the Hobson-Rogers stochastic volatility model. Our approach is based mainly upon the Kolmogorov backward equation by making full use of the Markovian property of the dynamics given the past information. Some numerical examples are presented with a GARCH-like volatility function and its extension to illustrate the effectiveness of our formulae together with a clear exhibition of the skewness and the heavy tails of the price dynamics.
DOI Link: 10.1142/S0219024909005294
ISSN: 0219-0249
Type: Article
Rights: This is the author's final draft of the paper published as International Journal of Theoretical and Applied Finance, 2009, 12 (3), pp. 283-295. Doi: 10.1142/S0219024909005294 © Copyright World Scientific Publishing Company. The final version is available from
Appears in Collections:Published Articles, Dept. of Mathematics

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