Marginal distribution of some path-dependent stochastic volatility model

A Hobson-Rogers [Hobson, D.G., Rogers, L.C.G. 1998. Complete models with stochastic volatility. Math. Finance 8 (1) 27-48] type "path-dependent" stochastic volatility model is solved explicitly, and the Laplace transform of its marginal distribution is computed in a closed form.

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Year of publication:	2008
Authors:	Sekine, Jun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1846-1850
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005074564