Loading...
Please wait, while we are loading the content...
Similar Documents
A Note on the Malliavin differentiability of the Heston Volatility
| Content Provider | Semantic Scholar |
|---|---|
| Author | Alòs, Elisa Ewald, Christian-Oliver |
| Copyright Year | 2005 |
| Abstract | We show that the Heston volatility or equivalently the Cox-IngersollRoss process satisfying dvt = κ (θ − vt) dt + ν √ vtdWt 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 CoxIngersoll-Ross model for interest rates. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://repositori.upf.edu/bitstream/handle/10230/1141/880.pdf;jsessionid=5547109874317F529FC192F0601B7D65?sequence=1 |
| Alternate Webpage(s) | http://www.econ.upf.edu/docs/papers/downloads/880.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Calculi Computation Malliavin calculus Plant Roots Ross - Pharmaceutical Company Volatility |
| Content Type | Text |
| Resource Type | Article |
