Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs (Q2680394): Difference between revisions

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

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scholarly article

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title

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

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Stochastic Processes and their Applications

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publication date

2 January 2023

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full work available at URL

https://arxiv.org/abs/2107.06022

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zbMATH Keywords

Bismut-Elworthy-Li formula

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singular SDEs

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fractional Brownian motion

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Malliavin calculus

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stochastic flows

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stochastic volatility

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MaRDI profile type

MaRDI publication profile

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cites work

Stochastic calculus with respect to Gaussian processes

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Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility

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Computing deltas without derivatives

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Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift

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Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise

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Averaging along irregular curves and regularisation of ODEs

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Q4031241

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Uniqueness of Solutions of Stochastic Differential Equations

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Stochastic analysis of the fractional Brownian motion

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Integration with respect to local time

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Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions

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Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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Applications of Malliavin calculus to Monte Carlo methods in finance

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Q3217380

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Q3154976

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A stochastic sewing lemma and applications

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A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs

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Regularization of differential equations by fractional noise.

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Q3141895

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Some Remarks on Davie’s Uniqueness Theorem

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An inequality of the Hölder type, connected with Stieltjes integration

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Identifiers

zbMATH Open document ID

1502.60090

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DOI

10.1016/j.spa.2022.11.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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@@ Property / cites work @@
+Stochastic calculus with respect to Gaussian processes
+Normal rank
@@ Property / cites work @@
+Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility
+Normal rank
@@ Property / cites work @@
+Computing deltas without derivatives
@@ Property / cites work: Computing deltas without derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
+Normal rank
@@ Property / cites work @@
+Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
+Normal rank
@@ Property / cites work @@
+Averaging along irregular curves and regularisation of ODEs
+Normal rank
@@ Property / cites work @@
+Q4031241
@@ Property / cites work: Q4031241 / rank @@
+Normal rank
@@ Property / cites work @@
+Uniqueness of Solutions of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Integration with respect to local time
@@ Property / cites work: Integration with respect to local time / rank @@
+Normal rank
@@ Property / cites work @@
+Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+Normal rank
@@ Property / cites work @@
+Q3217380
@@ Property / cites work: Q3217380 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3154976
@@ Property / cites work: Q3154976 / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic sewing lemma and applications
@@ Property / cites work: A stochastic sewing lemma and applications / rank @@
+Normal rank
@@ Property / cites work @@
+A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
+Normal rank
@@ Property / cites work @@
+Regularization of differential equations by fractional noise.
+Normal rank
@@ Property / cites work @@
+Q3141895
@@ Property / cites work: Q3141895 / rank @@
+Normal rank
@@ Property / cites work @@
+Some Remarks on Davie’s Uniqueness Theorem
@@ Property / cites work: Some Remarks on Davie’s Uniqueness Theorem / rank @@
+Normal rank
@@ Property / cites work @@
+An inequality of the Hölder type, connected with Stieltjes integration
+Normal rank