Local volatility in the Heston model: a Malliavin calculus approach.
Journal of Applied Mathematics and Stochastic Analysis (2005)
- Volume: 2005, Issue: 3, page 307-322
- ISSN: 2090-3332
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topEwald, Christian-Oliver. "Local volatility in the Heston model: a Malliavin calculus approach.." Journal of Applied Mathematics and Stochastic Analysis 2005.3 (2005): 307-322. <http://eudml.org/doc/45045>.
@article{Ewald2005,
author = {Ewald, Christian-Oliver},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {multidimensional Ornstein-Uhlenbeck process; Girsanov transformation; Heston volatility},
language = {eng},
number = {3},
pages = {307-322},
publisher = {Hindawi Publishing Corporation, New York},
title = {Local volatility in the Heston model: a Malliavin calculus approach.},
url = {http://eudml.org/doc/45045},
volume = {2005},
year = {2005},
}
TY - JOUR
AU - Ewald, Christian-Oliver
TI - Local volatility in the Heston model: a Malliavin calculus approach.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2005
PB - Hindawi Publishing Corporation, New York
VL - 2005
IS - 3
SP - 307
EP - 322
LA - eng
KW - multidimensional Ornstein-Uhlenbeck process; Girsanov transformation; Heston volatility
UR - http://eudml.org/doc/45045
ER -
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