A new Technique for Calibrating Stochastic Volatility Models: The Malliavin Gradient Method

Ewald, Christian-Oliver; Zhang, Aihua

[journal article]

dc.contributor.author	Ewald, Christian-Oliver	de
dc.contributor.author	Zhang, Aihua	de
dc.date.accessioned	2011-02-23T03:38:00Z	de
dc.date.accessioned	2012-08-29T23:07:07Z
dc.date.available	2012-08-29T23:07:07Z
dc.date.issued	2006	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22081
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Monte Carlo Methods; Calibration of Stochastic Volatility; Derivative Pricing Models; Option Pricing via Simulation; Computational Finance; Stochastic Volatility; Financial Mathematics; Value at Risk
dc.title	A new Technique for Calibrating Stochastic Volatility Models: The Malliavin Gradient Method	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	6	de
dc.publisher.country	GBR
dc.source.issue	2	de
dc.subject.classoz	Basic Research, General Concepts and History of Economics	en
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-220813	de
dc.date.modified	2011-05-11T15:32:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	147-158
internal.identifier.classoz	10905
internal.identifier.classoz	10901
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680500531676	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Basic Research, General Concepts and History of Economics
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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