Malliavin differentiability of the Heston volatility and applications to option pricing
By E. Alòs, C. Ewald. Advances in Applied Probability, 2008
94 citations recorded by the source corpus.
Subfields: Demography, Finance
View Paper: https://www.semanticscholar.org/paper/a7a1b7135e0c5ad684485353d6a482a1efc39e36
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Citations in the corpus
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions (2011, background): “Actually, Alos and Ewald [1] have shown that if X is CIR process, then Xt, t > 0, belongs to D 1,2 when the Feller condition 2a≥ γ2 is achieved.”