MODELING VOLATILITY FOR THE INDEX PFTS THROUGH GENERALIZED MODELS HOBSON-ROGERS

I.V. BURTNYAK, H.P. MALYTSKA

Abstract


The purpose of this article is to use the volatility model with dependence from past assetprices that the proposed model generalization Hobson-Rogers. Models with variable volatilitycharacterized by two aspects, namely, on the one hand to get the price of conventional option,which is consistent with the considered a variable, on the other hand, to select the correct strategiesto improve performance hedging. Considered idea flexible circuit weighing corresponding finite thetime horizon of the past. The proposed model has a unique advantage over others in determiningthe price of derivatives assets.

References


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Прикарпатський національний університет імені Василя Стефаника