Malliavin differentiability of the Heston volatility and applications to option pricing
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Publication:5387081
DOI10.1239/aap/1208358890zbMath1137.91422OpenAlexW3121649785MaRDI QIDQ5387081
Christian-Oliver Ewald, Elisa Alòs
Publication date: 15 May 2008
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1208358890
Malliavin calculusoption pricingHeston modelstochastic volatility modelCox-Ingersoll-Ross processHull and White formula
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
- A generalization of the Hull and White formula with applications to option pricing approximation
- An extension of Itô's formula for anticipating processes
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Representation formulas for Malliavin derivatives of diffusion processes
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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