Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance-Reference-Cited by-同舟云学术

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Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Ewald Christian-Oliver,Xiao Yajun,Zou Yang,Siu Tak-Kuen

Publisher

Elsevier BV

Reference10 articles.

1. Malliavin differentiability of the Heston volatility and applications to option pricing;A� Os;Adv. in Appl. Probab,2008

2. Moment explosions in stochastic volatility models;L Andersen;Finance and Stochastics,2007

3. Representation formulas for Malliavin derivatives of diffusion processes;J; Detemple;Finance Stoch,2005

4. Testing and seismic evaluation of long span steel truss bridges

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Computation of the Delta of European Options Under Stochastic Volatility Models;SSRN Electronic Journal;2016

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