Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility

Introduction

Model of asset price and payoff function: additional assumptions, auxiliary properties

Elements of Malliavin calculus and application to option pricing

The rate of convergence of approximate option prices in the case when both Wiener process and fractional Brownian motions are discretized

The rate of convergence of approximate option prices in the case when only fractional Brownian motion is discretized

Option price in terms of density of the integrated stochastic volatility

Simulations