A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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Publication:5484638
DOI10.1080/14697680500531676zbMath1136.91430OpenAlexW2033200020MaRDI QIDQ5484638
Christian-Oliver Ewald, Ai-Hua 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
Malliavin calculusMonte Carlo simulationgradient methodscalibrationstochastic volatility modelsvalue at risk
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Related Items (6)
Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus ⋮ Modelling fundamental analysis in portfolio selection ⋮ IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS ⋮ Sensitivity of option prices via fuzzy Malliavin calculus ⋮ On the non-equilibrium density of geometric mean reversion ⋮ Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Uses Software
Cites Work
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- Applications of Malliavin calculus to Monte Carlo methods in finance
- Local volatility in the Heston model: a Malliavin calculus approach
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- On the Existence of Minimax Martingale Measures
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
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