Local volatility in the Heston model: a Malliavin calculus approach
نویسندگان
چکیده
منابع مشابه
Local Volatility in the Heston Model: a Malliavin Calculus Approach
Within the last ten years there have been many published and unpublished contributions on how to apply Malliavin calculus in the context of mathematical finance. The purpose of this paper is on one side to give the mathematical background for the application of Malliavin calculus in the framework of the Heston stochastic volatility model, and on the other side to provide an applicable formula f...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Stochastic Analysis
سال: 2005
ISSN: 1048-9533,1687-2177
DOI: 10.1155/jamsa.2005.307