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...

We study the existence of moments and the tail behaviour of the densities of storage processes. We give sufficient conditions for existence and non-existence of moments using the integrability conditions of submultiplicative functions with respect to Levy measures. Then, we study the...