A new Technique for Calibrating Stochastic Volatility Models: The Malliavin Gradient Method
Abstract: 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
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 6 (2006) 2 ; 147-158
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2006
- Creator
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Ewald, Christian-Oliver
Zhang, Aihua
- DOI
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10.1080/14697680500531676
- URN
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urn:nbn:de:0168-ssoar-220813
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:29 AM CEST
Data provider
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Associated
- Ewald, Christian-Oliver
- Zhang, Aihua
Time of origin
- 2006
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