Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/4692
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dc.contributor.authorKawai, Reiichiro-
dc.date.accessioned2009-09-16T14:20:02Z-
dc.date.available2009-09-16T14:20:02Z-
dc.date.issued2009-
dc.identifier.citationInternational Journal of Theoretical and Applied Finance, 2009, 12 (3), pp. 283-295.en_GB
dc.identifier.issn0219-0249-
dc.identifier.urihttp://www.worldscientific.com/doi/abs/10.1142/S0219024909005294en_GB
dc.identifier.urihttp://hdl.handle.net/2381/4692-
dc.description.abstractMonte 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.en_GB
dc.language.isoenen_GB
dc.publisherWorld Scientific Publishingen_GB
dc.rightsThis 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 http://www.worldscinet.com/ijtaf/12/1203/S0219024909005294.html-
dc.titleSensitivity analysis and Density Estimation for the Hobson-Rogers Stochastic Volatility Model.en_GB
dc.typeArticleen_GB
dc.identifier.doi10.1142/S0219024909005294-
Appears in Collections:Published Articles, Dept. of Mathematics

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