{"title":"On the complete model with stochastic volatility by Hobson and Rogers","authors":"M. Di Francesco, A. Pascucci","doi":"10.1098/rspa.2004.1370","DOIUrl":null,"url":null,"abstract":"In the complete model with stochastic volatility by Hobson and Rogers, preference independent options prices are solutions to degenerate partial differential equations obtained by including additional state variables describing the dependence on past prices of the underlying. In this paper, 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.","PeriodicalId":20722,"journal":{"name":"Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2004-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"51","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1098/rspa.2004.1370","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 51
Abstract
In the complete model with stochastic volatility by Hobson and Rogers, preference independent options prices are solutions to degenerate partial differential equations obtained by including additional state variables describing the dependence on past prices of the underlying. In this paper, 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.
期刊介绍：
Proceedings A publishes articles across the chemical, computational, Earth, engineering, mathematical, and physical sciences. The articles published are high-quality, original, fundamental articles of interest to a wide range of scientists, and often have long citation half-lives. As well as established disciplines, we encourage emerging and interdisciplinary areas.
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