We combine methods for portfolio optimization in incomplete markets which are due to Karatzas et al. [6] with methods proposed by Nualart based on Malliavin Calculus to model insider trading within a stochastic volatility model. We compute the optimal portfolio within a certain set of insider...

We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this...