A note on the Malliavin differentiability of the Heston volatility
Mostra el registre complet Registre parcial de l'ítem
- dc.contributor.author Alòs, Elisaca
- dc.contributor.author Ewald, Christian-Olivierca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresaca
- dc.date.issued 2005-08-01ca
- dc.date.modified 2016-09-29T02:50:27Zca
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=880ca
- dc.identifier.uri http://hdl.handle.net/10230/1141ca
- dc.language.iso engca
- dc.relation.ispartofseries Economics and Business Working Papers Series; 880ca
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsca
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/ca
- dc.subject.keyword Statistics, Econometrics and Quantitative Methodsca
- dc.subject.keyword malliavin calculusca
- dc.subject.keyword stochastic volatility modelsca
- dc.subject.keyword heston modelca
- dc.subject.keyword cox-ingersoll-ross processca
- dc.title A note on the Malliavin differentiability of the Heston volatilityca
- dc.type info:eu-repo/semantics/workingPaperca