KAWAI, REIICHIRO - In: International Journal of Theoretical and Applied … 12 (2009) 03, pp. 283-295
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...