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A new Technique for Calibrating Stochastic Volatility Models: The Malliavin Gradient Method
[Zeitschriftenartikel]
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 paramet... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Methode
Theorieanwendung
Freie Schlagwörter
Monte Carlo Methods; Calibration of Stochastic Volatility; Derivative Pricing Models; Option Pricing via Simulation; Computational Finance; Stochastic Volatility; Financial Mathematics; Value at Risk
Sprache Dokument
Englisch
Publikationsjahr
2006
Seitenangabe
S. 147-158
Zeitschriftentitel
Quantitative Finance, 6 (2006) 2
DOI
https://doi.org/10.1080/14697680500531676
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)