Malliavin Calculus in Finance
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Publication:5147682
DOI10.1201/9781003018681zbMath1476.91003MaRDI QIDQ5147682
David García Lorite, Elisa Alòs
Publication date: 27 January 2021
option pricingquantitative financestochastic financevolatility modellinglocal, stochastic and rough volatilitiesMallivin calculus
Fractional processes, including fractional Brownian motion (60G22) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (4)
Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ On the Skew and Curvature of the Implied and Local Volatilities ⋮ Monotonicity of implied volatility for perpetual put options ⋮ CVA in fractional and rough volatility models
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