English, Article, Journal or magazine article edition: A Note on the Malliavin differentiability of the Heston Volatility Elisa Alòs; Christian-Olivier Ewald

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Bookmark: http://trove.nla.gov.au/version/153781
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Note on the Malliavin differentiability of the Heston Volatility
Author
  • Elisa Alòs
  • Christian-Olivier Ewald
Physical Description
  • preprint
Notes
  • We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process 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.
  • Malliavin calculus, stochastic volatility models, Heston model, Cox-Ingersoll-Ross process
  • RePEc:upf:upfgen:880
Language
  • English
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