Local Volatility in the Heston Model : A Malliavin Calculus Approach

We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck processes and a special Girsanov transformation, and consider the Malliavin calculus of this model. We derive explicit formulas for the Malliavin derivatives of the Heston volatility and the log-price, and give a formula for the local volatility which is approachable by Monte-Carlo methods

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Year of publication:	[2008]
Authors:	Ewald, Christian-Oliver
Publisher:	[2008]: [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: Journal of Applied Mathematics and Stochastic Analysis, Vol. 2005, No. 3, pp. 307-322, 2005 Volltext nicht verfügbar
Classification:	C00 - Mathematical and Quantitative Methods. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C19 - Econometric and Statistical Methods: General. Other ; C51 - Model Construction and Estimation ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012773670