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Title:
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A Note on the Malliavin differentiability of the Heston Volatility
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Author:
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Alòs, Elisa; Ewald, Christian-Olivier
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Other authors:
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Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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Abstract:
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We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process satisfying is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates. |
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Publication date:
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2005-09-15 |
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Subject(s):
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Malliavin calculus, stochastic volatility models, Heston model, Cox-Ingersoll-Ross process |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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