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

Lecture 4: Application of Malliavin calculus to…

duration 1 hour 53 minutes

Lecture 4: Application of Malliavin calculus to…

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

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…

euler scheme
monte carlo method
density
malliavin calculus
stochastic volatility
rough volatility
convergence
From  Tiziano Vargiolu 13 plays 0