A new technique for calibrating stochastic volatility models: the Malliavin gradient method (Q5484638)
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scientific article; zbMATH DE number 5047889
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| 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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0.8088372349739075
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0.802830159664154
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0.7992697358131409
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0.7974307537078857
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0.7972258925437927
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