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

DOI10.1080/14697680500531676zbMATH Open1136.91430OpenAlexW2033200020MaRDI QIDQ5484638FDOQ5484638

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

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zbMATH Keywords

Malliavin calculusMonte Carlo simulationcalibrationvalue at riskgradient methodsstochastic volatility models

Mathematics Subject Classification ID

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Practical methods of optimization.
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• The minimal entropy martingale measures for geometric Lévy processes
• On the Existence of Minimax Martingale Measures
• Local volatility in the Heston model: a Malliavin calculus approach
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization

Cited In (9)

• 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
• Sensitivity of option prices via fuzzy Malliavin calculus
• Title not available (Why is that?)
• Modelling fundamental analysis in portfolio selection
• Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus

Uses Software

• PLCP

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