A new technique for calibrating stochastic volatility models: the Malliavin gradient method (Q5484638)
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scientific article; zbMATH DE number 5047889
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new technique for calibrating stochastic volatility models: the Malliavin gradient method |
scientific article; zbMATH DE number 5047889 |
Statements
A new technique for calibrating stochastic volatility models: the Malliavin gradient method (English)
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21 August 2006
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Malliavin calculus
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Monte Carlo simulation
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stochastic volatility models
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calibration
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gradient methods
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value at risk
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