Local volatility in the Heston model: a Malliavin calculus approach (Q2498183): Difference between revisions
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Latest revision as of 08:22, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local volatility in the Heston model: a Malliavin calculus approach |
scientific article |
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Local volatility in the Heston model: a Malliavin calculus approach (English)
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28 August 2006
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Summary: We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck processes and a special Girsanov transformation, and consider the Malliavin calculus of this model. We derive explicit formulas for the Malliavin derivatives of the Heston volatility and the log-price, and give a formula for the local volatility which is approachable by Monte-Carlo methods.
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multidimensional Ornstein-Uhlenbeck process
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Girsanov transformation
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Heston volatility
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