Malliavin differentiability of the Heston volatility and applications to option pricing

DOI10.1239/aap/1208358890zbMath1137.91422OpenAlexW3121649785MaRDI QIDQ5387081

Christian-Oliver Ewald, Elisa Alòs

Publication date: 15 May 2008

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1208358890

zbMATH Keywords

Malliavin calculusoption pricingHeston modelstochastic volatility modelCox-Ingersoll-Ross processHull and White formula

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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