Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

DOI10.1007/s00780-019-00384-5zbMath1411.91536MaRDI QIDQ1739059

Kenichiro Shiraya, Elisa Alòs

Publication date: 24 April 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F407.pdf

zbMATH Keywords

Malliavin calculus; volatility swaps; fractional volatility models

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus