An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility (Q5351667)
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scientific article; zbMATH DE number 6766757
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| English | An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility |
scientific article; zbMATH DE number 6766757 |
Statements
An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility (English)
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30 August 2017
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Black-Scholes model
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stochastic volatility
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option pricing
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Malliavin calculus
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0.8363289833068848
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0.7987068891525269
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0.7946670651435852
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0.7902393341064453
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0.7872480750083923
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