Analytical approximations of local‐Heston volatility model and error analysis

DOI10.1111/MAFI.12154zbMath1411.91544OpenAlexW2256760438MaRDI QIDQ4581293

Romain Bompis, Emmanuel Gobet

Publication date: 16 August 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12154

zbMATH Keywords

Malliavin calculusanalytical approximationslocal and stochastic volatilities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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