Journal article | Zeitschriftenartikel
A new Technique for Calibrating 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.
- Umfang
-
Seite(n): 147-158
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Quantitative Finance, 6(2)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Theorieanwendung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ewald, Christian-Oliver
Zhang, Aihua
- Ereignis
-
Veröffentlichung
- (wo)
-
Vereinigtes Königreich
- (wann)
-
2006
- DOI
- URN
-
urn:nbn:de:0168-ssoar-220813
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Ewald, Christian-Oliver
- Zhang, Aihua
Entstanden
- 2006
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