Ewald, C.-O. and Zhang, A. (2006) A new technique for calibrating stochastic volatility models: the Malliavin gradient method. Quantitative Finance, 6(2), pp. 147-158. (doi: 10.1080/14697680500531676)
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Publisher's URL: http://dx.doi.org/10.1080/14697680500531676
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.
Item Type: | Articles |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Ewald, Professor Christian and Zhang, Dr Aihua |
Authors: | Ewald, C.-O., and Zhang, A. |
Subjects: | H Social Sciences > HG Finance |
College/School: | College of Social Sciences > Adam Smith Business School > Economics |
Journal Name: | Quantitative Finance |
ISSN: | 1469-7688 |
ISSN (Online): | 1469-7696 |
Published Online: | 18 February 2007 |
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