Malliavin differentiability of the Heston volatility and applications to option pricing (Q5387081)
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scientific article; zbMATH DE number 5275523
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Malliavin differentiability of the Heston volatility and applications to option pricing |
scientific article; zbMATH DE number 5275523 |
Statements
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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