eprintid: 973
rev_number: 8
eprint_status: archive
userid: 370
dir: disk0/00/00/09/73
datestamp: 2006-11-30
lastmod: 2019-09-29 04:45:32
status_changed: 2007-11-07 00:27:08
type: paper
metadata_visibility: show
abstract: We propose a general class of non-constant volatility models with dependence on the past.
The framework includes path-dependent volatility models such as that by Hobson&Rogers and
also path dependent contracts such as options of Asian style. A key feature of the model is that market completeness is preserved. Some empirical analysis, based on the comparison with the performance of standard local volatility and Heston models, shows the effectiveness of the path dependent volatility.
creators_name: Pascucci, Andrea
creators_name: Foschi, Paolo
creators_id: pascucci@dm.unibo.it
creators_id: 
date: 2006-11-30
date_issue: 2006-11-30
file_format: pdf
file_url: http://mpra.ub.uni-muenchen.de/973/01/MPRA_paper_973.pdf
full_text_status: public
identifierabstract: http://mpra.ub.uni-muenchen.de/973/
institutions: Università di Bologna
institution: Università di Bologna
ispublished: unpub
keywords: option pricing; stochastic volatility; path dependent option
language: en
pages: 18
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subjects: G1
subjects: C02
title: Path dependent volatility
citation:   Pascucci, Andrea and Foschi, Paolo  (2006): Path dependent volatility.    
document_url: https://mpra.ub.uni-muenchen.de/973/1/MPRA_paper_973.pdf