Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation

DOI10.1137/20M1347334zbMath1452.91313arXiv2005.04297OpenAlexW3089174173MaRDI QIDQ5131408

Yuri F. Saporito

Publication date: 7 November 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.04297

zbMATH Keywords

Monte CarloMalliavin calculusfunctional Itô calculuspath-dependent derivativesmultiscale stochastic volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing, European and Asian Greeks for exponential Lévy processes

Cites Work

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• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II