A new technique for calibrating stochastic volatility models: the Malliavin gradient method

DOI10.1080/14697680500531676MaRDI QIDQ5484638zbMATH OpenOpenAlexFDO

Authors Christian-Oliver Ewald, Aihua Zhang

Publication date 21 August 2006

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.ssoar.info/ssoar/handle/document/22081

zbMATH Keywords

Malliavin calculusMonte Carlo simulationcalibrationvalue at riskgradient methodsstochastic volatility models

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Local volatility in the Heston model: a Malliavin calculus approach
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• On the Existence of Minimax Martingale Measures
• Practical methods of optimization.
• The minimal entropy martingale measures for geometric Lévy processes

Cited in

(9)

• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus
• The Malliavin gradient method for the calibration of stochastic dynamical models
• scientific article; zbMATH DE number 6999659 (Why is no real title available?)
• Modelling fundamental analysis in portfolio selection
• IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
• Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
• On the non-equilibrium density of geometric mean reversion
• Sensitivity of option prices via fuzzy Malliavin calculus

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Uses Software

• PLCP

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