Paper #880

Títol:

A note on the Malliavin differentiability of the Heston volatility

Autors:

Elisa Alòs i Christian-Olivier Ewald

Data:

Agost 2005

Resum:

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 in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates.

Paraules clau:

Malliavin calculus, stochastic volatility models, Heston model, Cox-Ingersoll-Ross process

Codis JEL:

G12, G19, C19, E43

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

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