Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus

DOI10.1007/978-3-319-30417-5_4zbMath1418.91545OpenAlexW2489343867MaRDI QIDQ4558891

Josep Vives

Publication date: 30 November 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-30417-5_4

zbMATH Keywords

derivative pricingquantitative financeHull and White type formulaMalliavin-Skorohod calculusstochastic volatility jump-diffusion models

Mathematics Subject Classification ID

Related Items (1)

DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS

Cites Work

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• The Malliavin Calculus and Related Topics
• An anticipating It\^o formula for L\'evy processes
• Financial Modelling with Jump Processes

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