A New Method for the Calibration of Stochastic Volatility Models : The Malliavin Gradient Method

We discuss the application of gradient methods to calibrate mean reverting stochastic volatility models. For this we use formulas based on Girsanov transformations as well as a modification of the Bismut-Elworthy formula to compute the derivatives of certain option prices with respect to the parameters of the model by applying Monte Carlo methods. The article presents an extension of the ideas to apply Malliavin calculus methods in the computation of Greek's

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Year of publication:	[2019]
Authors:	Ewald, Christian-Oliver
Other Persons:	Zhang, Aihua (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Quantitative Finance, Vol. 6, No. 2, pp. 147-158, April 2006 Volltext nicht verfügbar
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C63 - Computational Techniques ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012746453