Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation
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Publication:5131408
DOI10.1137/20M1347334zbMath1452.91313arXiv2005.04297OpenAlexW3089174173MaRDI QIDQ5131408
Publication date: 7 November 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.04297
Monte CarloMalliavin calculusfunctional Itô calculuspath-dependent derivativesmultiscale stochastic volatility model
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
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