A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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Malliavin calculusMonte Carlo simulationcalibrationvalue at riskgradient methodsstochastic volatility models
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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
(11)- On the non-equilibrium density of geometric mean reversion
- Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
- The Malliavin gradient method for the calibration of stochastic dynamical models
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
- Swing option-implied volatility
- Sensitivity of option prices via fuzzy Malliavin calculus
- scientific article; zbMATH DE number 6999659 (Why is no real title available?)
- Symmetry classification and invariant solutions of the classical geometric mean reversion process
- Modelling fundamental analysis in portfolio selection
- Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus
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