Narrow search
Showing 1 - 4 of 4
Cover Image
On Lévy processes, Malliavin calculus and market models with jumps
Vives, Josep; León, Jorge A.; Utzet, Frederic; Solé, … - In: Finance and Stochastics 6 (2002) 2, pp. 197-225
Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Lévy processes has been proved, has enabled us to develop a Malliavin calculus for Lévy processes. For simple Lévy processes some useful formulas for computing Malliavin derivatives are deduced. Applications for...
Persistent link: https://www.econbiz.de/10005390667
Cover Image
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa - In: Finance and Stochastics 16 (2012) 3, pp. 403-422
Persistent link: https://www.econbiz.de/10010997054
Cover Image
A generalization of the Hull and White formula with applications to option pricing approximation
Alòs, Elisa - In: Finance and Stochastics 10 (2006) 3, pp. 353-365
Persistent link: https://www.econbiz.de/10005613393
Cover Image
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa; León, Jorge; Vives, Josep - In: Finance and Stochastics 11 (2007) 4, pp. 571-589
Persistent link: https://www.econbiz.de/10005184359