Browsing Departament d'Economia i Empresa by Author "Ewald, Christian-Olivier"

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Browsing Departament d'Economia i Empresa by Author "Ewald, Christian-Olivier"

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  • Alòs, Elisa; Ewald, Christian-Olivier (2005)
    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 ...

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