Local volatility in the Heston model: a Malliavin calculus approach
From MaRDI portal
Publication:2498183
DOI10.1155/JAMSA.2005.307zbMath1184.91215MaRDI QIDQ2498183
Publication date: 28 August 2006
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/45045
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (6)
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ Calculations of greeks for jump diffusion processes ⋮ A note on the Malliavin derivative operator under change of variable ⋮ The Malliavin gradient method for the calibration of stochastic dynamical models ⋮ Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk ⋮ A new technique for calibrating stochastic volatility models: the Malliavin gradient method
This page was built for publication: Local volatility in the Heston model: a Malliavin calculus approach
