Economics, Econometrics and Finance
4 years ago

New volatility model revolutionizes financial market performance and risk management.

2 views
RePEc: Research Papers in Economics
Path dependent volatility
Andrea Pascucci, Paolo Foschi

Paper Summary

The article introduces a new type of volatility model that takes into account past data. This model is useful for options trading and maintains market completeness. Comparisons with other models show that this path-dependent volatility model is effective.

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