Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs (Q2680394)
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scientific article; zbMATH DE number 7637693
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| English | Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs |
scientific article; zbMATH DE number 7637693 |
Statements
Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs (English)
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2 January 2023
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Bismut-Elworthy-Li formula
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singular SDEs
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fractional Brownian motion
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Malliavin calculus
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stochastic flows
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stochastic volatility
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0.8798115849494934
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0.7743672132492065
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0.7503283023834229
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0.7484152317047119
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0.747197151184082
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