Local Volatility in the Heston Model: a Malliavin Calculus Approach
نویسنده
چکیده
Within the last ten years there have been many published and unpublished contributions on how to apply Malliavin calculus in the context of mathematical finance.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 for the local volatility. The Heston model is one of the most applied stochastic volatility models. It is more or less characterized by a volatility process which satisfies the following stochastic differential equation
منابع مشابه
A Note on the Malliavin differentiability of the Heston Volatility
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