An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility. (English. Ukrainian original) Zbl 1377.91160
Theory Probab. Math. Stat. 94, 97-120 (2017); translation from Teor. Jmovirn. Mat. Stat. 94, 93-115 (2016).
The authors study the exact price problem of a European type option by using mathematical models with stochastic volatility. Using Malliavin calculus they evaluate the distribution density of a functional of the stochastic volatility which is needed to the exact price problem.
Reviewer: Nikolaos Halidias (Athens)
MSC:
| 91G20 | Derivative securities (option pricing, hedging, etc.) |
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
| 60H07 | Stochastic calculus of variations and the Malliavin calculus |
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