Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs

DOI10.1016/j.spa.2022.11.001zbMath1502.60090arXiv2107.06022OpenAlexW4308615975MaRDI QIDQ2680394

Emmanuel Coffie, Sindre Duedahl, Frank Norbert Proske

Publication date: 2 January 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.06022

zbMATH Keywords

fractional Brownian motionstochastic volatilityMalliavin calculusstochastic flowsBismut-Elworthy-Li formulasingular SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Regularity of solutions in optimal control (49N60) Financial applications of other theories (91G80)

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