Calibration of the Hobson&Rogers model: empirical tests

Andrea Pascucci () and Paolo Foschi

Finance from EconWPA

Abstract: The path-dependent volatility model by Hobson and Rogers is considered. It is known that this model can potentially reproduce the observed smile and skew patterns of different directions, while preserving the completeness of the market. In order to quantitatively investigate the pricing performance of the model a calibration procedure is here derived. Numerical results based on S&P500 option prices give evidence of the effectiveness of the model.

JEL-codes: G (search for similar items in EconPapers)
Date: 2005-09-16
Note: Type of Document - pdf; pages: 26
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0509020

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