Local volatility in the Heston model: a Malliavin calculus approach (Q2498183): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
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 |
Statements
Local volatility in the Heston model: a Malliavin calculus approach (English)
0 references
28 August 2006
0 references
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.
0 references
multidimensional Ornstein-Uhlenbeck process
0 references
Girsanov transformation
0 references
Heston volatility
0 references