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Volumn 2005, Issue 3, 2005, Pages 307-322

Local volatility in the Heston model: A Malliavin calculus approach

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EID: 33646552465     PISSN: 10489533     EISSN: 16872177     Source Type: Journal    
DOI: 10.1155/JAMSA.2005.307     Document Type: Article
Times cited : (9)

References (14)
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    • Cox, J.C.1    Ingersoll Jr., J.E.2    Ross, S.A.3
  • 2
    • 0032026704 scopus 로고    scopus 로고
    • Convergence of discretized stochastic (interest rate) processes with stochastic drift term
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    • (1998) Appl. Stochastic Models Data Anal. , vol.14 , Issue.1 , pp. 77-84
    • Deelstra, G.1    Delbaen, F.2
  • 4
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    • Calibration of stochastic volatility models by gradient methods based on the Malliavin calculus
    • calculus to appear in
    • C.-O. Ewald Calibration of stochastic volatility models by gradient methods based on the Malliavin calculus to appear in J. Comp. Fin
    • J. Comp. Fin
    • Ewald, C.-O.1
  • 5
    • 0000039677 scopus 로고    scopus 로고
    • Applications of Malliavin calculus to Monte-Carlo methods in finance. II
    • E. Fournié J.-M. Lasry J. Lebuchoux P.-L. Lions Applications of Malliavin calculus to Monte-Carlo methods in finance. II Finance Stoch. 2001 5 2 201-236
    • (2001) Finance Stoch. , vol.5 , Issue.2 , pp. 201-236
    • Fournié, E.1    Lasry, J.-M.2    Lebuchoux, J.3    Lions, P.-L.4
  • 6
    • 1042285606 scopus 로고    scopus 로고
    • A survey and some generalizations of Bessel processes
    • A. Göing-Jaeschke M. Yor A survey and some generalizations of Bessel processes Bernoulli 2003 9 2 313-349
    • (2003) Bernoulli , vol.9 , Issue.2 , pp. 313-349
    • Göing-Jaeschke, A.1    Yor, M.2
  • 7
    • 0037836721 scopus 로고
    • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    • S. L. Heston A closed-form solution for options with stochastic volatility with applications to bond and currency options Review of Financial Studies 1993 6 2 327-343
    • (1993) Review of Financial Studies , vol.6 , Issue.2 , pp. 327-343
    • Heston, S.L.1
  • 8
    • 0040070950 scopus 로고
    • Stochastic Differential Equations and Diffusion Processes
    • North-Holland Amsterdam 2nd ed
    • N. Ikeda S. Watanabe Stochastic Differential Equations and Diffusion Processes North-Holland Amsterdam 1989 24 North-Holland Mathematical Library 2nd ed.
    • (1989) North-Holland Mathematical Library , vol.24
    • Ikeda, N.1    Watanabe, S.2
  • 10
    • 17444411277 scopus 로고    scopus 로고
    • An anticipating calculus approach to the utility maximization of an insider
    • J. A. León R. Navarro D. Nualart An anticipating calculus approach to the utility maximization of an insider Math. Finance 2003 13 1 171-185
    • (2003) Math. Finance , vol.13 , Issue.1 , pp. 171-185
    • León, J.A.1    Navarro, R.2    Nualart, D.3
  • 11
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    • The Malliavin Calculus and Related Topics
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    • Nualart, D.1
  • 12
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    • Stochastic Differential Equations. An Introduction with Applications
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    • B. Øksendal Stochastic Differential Equations. An Introduction with Applications Springer Berlin 2003 Universitext 6th ed.
    • (2003)
    • Øksendal, B.1
  • 14
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    • An Introduction to Analysis on Wiener Space
    • Springer Berlin Lecture Notes in Mathematics
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.