A note on the Malliavin derivative operator under change of variable

DOI10.1016/j.spl.2007.05.017zbMath1133.60332OpenAlexW2063985629MaRDI QIDQ2476826

Christian-Oliver Ewald

Publication date: 12 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.017

zbMATH Keywords

Malliavin calculusmathematical financeanalysis on Wiener space

Mathematics Subject Classification ID

Cites Work

• The Malliavin gradient method for the calibration of stochastic dynamical models
• Local volatility in the Heston model: a Malliavin calculus approach
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