Paper #880

Título:

A note on the Malliavin differentiability of the Heston volatility

Autores:

Elisa Alòs y Christian-Olivier Ewald

Data:

Agosto 2005

Resumen:

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.

Palabras clave:

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

Códigos JEL:

G12, G19, C19, E43

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

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