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Local volatility in the Heston model: a Malliavin calculus approach.

Ewald, Christian-Oliver — 2005

Journal of Applied Mathematics and Stochastic Analysis

A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.

Yang, Zhaojun;  Ewald, Christian-Oliver;  Wang, Wen-Kai — 2011

Journal of Probability and Statistics

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Languages

  • 2 en

Document types

  • 2 Article

Journals

  • 1 Journal of Applied Mathematics and Stochastic Analysis
  • 1 Journal of Probability and Statistics

Years

  • 1 2011
  • 1 2005

Authors

  • 2 Ewald, CO
  • 1 Wang, WK
  • 1 Yang, Z
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