Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation (Q5131408)
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scientific article; zbMATH DE number 7271092
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation |
scientific article; zbMATH DE number 7271092 |
Statements
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation (English)
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7 November 2020
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multiscale stochastic volatility model
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path-dependent derivatives
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Malliavin calculus
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Monte Carlo
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functional Itô calculus
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