Sensitivity analysis in the infinite dimensional Heston model

DOI10.1142/S0219025721500144zbMath1481.60102arXiv2012.12167OpenAlexW3182243031MaRDI QIDQ5158590

Iben Cathrine Simonsen, Giulia Di Nunno, Fred Espen Benth

Publication date: 25 October 2021

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.12167

zbMATH Keywords

sensitivity analysisstochastic volatilityMalliavin calculusoption pricingelectricity marketsforward pricesGreeksinfinite dimensional Ornstein-Uhlenbeck processesinfinite dimensional Heston model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of functional analysis in probability theory and statistics (46N30)

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Cites Work

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