A note on the Malliavin differentiability of the Heston volatility

We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates.

MoreLess

Year of publication:	2005-08
Authors:	Alòs, Elisa ; Ewald, Christian-Olivier
Institutions:	Department of Economics and Business, Universitat Pompeu Fabra
Subject:	Malliavin calculus \| stochastic volatility models \| Heston model \| Cox-Ingersoll-Ross process

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; G19 - General Financial Markets. Other ; C19 - Econometric and Statistical Methods: General. Other ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005772060