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.
- Extent
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Seite(n): 147-158
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Quantitative Finance, 6(2)
- Subject
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Theorieanwendung
- Event
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Geistige Schöpfung
- (who)
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Ewald, Christian-Oliver
Zhang, Aihua
- Event
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Veröffentlichung
- (where)
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Vereinigtes Königreich
- (when)
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2006
- DOI
- URN
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urn:nbn:de:0168-ssoar-220813
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
-
21.06.2024, 4:27 PM CEST
Data provider
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Ewald, Christian-Oliver
- Zhang, Aihua
Time of origin
- 2006
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Estimating stochastic volatility under the assumption of stochastic volatility of volatility
Maximum entropy regularization for calibrating a time-dependent volatility function
Calibrating and completing the volatility cube in the SABR Model
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Bootstrapping Non-Stationary Stochastic Volatility
Relating Stochastic Volatility Estimation Methods
Multivariate Wishart Stochastic Volatility Models
Bayesian semiparametric stochastic volatility modeling
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