Ewald, Christian-Oliver; Zhang, Aihua - In: Quantitative Finance 6 (2006) 2, pp. 147-158
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...