Pages that link to "Item:Q5387081"
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The following pages link to Malliavin differentiability of the Heston volatility and applications to option pricing (Q5387081):
Displayed 6 items.
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions (Q640057) (← links)
- Irreversible investment with Cox-Ingersoll-Ross type mean reversion (Q975940) (← links)
- A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
- Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition (Q2446702) (← links)
- Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286) (← links)
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (Q3648638) (← links)