Malliavin differentiability of the Heston volatility and applications to option pricing (Q5387081): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1239/aap/1208358890 / rank
 
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Latest revision as of 08:59, 28 June 2024

scientific article; zbMATH DE number 5275523
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English
Malliavin differentiability of the Heston volatility and applications to option pricing
scientific article; zbMATH DE number 5275523

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    Malliavin differentiability of the Heston volatility and applications to option pricing (English)
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    15 May 2008
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    Malliavin calculus
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    stochastic volatility model
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    Heston model
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    Cox-Ingersoll-Ross process
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    Hull and White formula
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    option pricing
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