{"title":"关于Hobson和Rogers的随机波动完全模型","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":"29 1","pages":"3327 - 3338"},"PeriodicalIF":0.0000,"publicationDate":"2004-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"51","resultStr":"{\"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\":\"29 1\",\"pages\":\"3327 - 3338\"},\"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}","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}
On the complete model with stochastic volatility by Hobson and Rogers
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.
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