A Note on the Malliavin Differentiability of the Heston Volatility

11 Pages Posted: 15 Nov 2005

See all articles by Elisa Alos

Elisa Alos

University of Pompeu Fabra - Department of Economics

Christian-Oliver Ewald

University of Glasgow; Center for Dynamic Macroeconomic Analysis, University of St. Andrews - School of Economics and Finance

Date Written: January 2005

Abstract

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.

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

JEL Classification: G12, G19, C19, E43

Suggested Citation

Alos, Elisa and Ewald, Christian-Oliver, A Note on the Malliavin Differentiability of the Heston Volatility (January 2005). Available at SSRN: https://ssrn.com/abstract=847645 or http://dx.doi.org/10.2139/ssrn.847645

Elisa Alos (Contact Author)

University of Pompeu Fabra - Department of Economics ( email )

c/o Ramon Trias Fargas 25-27
08005 Barcelona
Spain
34 93 542 19 25 (Phone)
34 93 542 17 46 (Fax)

Christian-Oliver Ewald

University of Glasgow ( email )

Adam Smith Building
Glasgow, Scotland G12 8RT
United Kingdom

Center for Dynamic Macroeconomic Analysis, University of St. Andrews - School of Economics and Finance ( email )

Castlecliffe
The Scores
St. Andrews, Fife KY16 9AL
United Kingdom
+44(0)1334 462435 (Phone)

HOME PAGE: http://www.maths.usyd.edu.au/u/ewald/

Register to save articles to
your library

Register

Paper statistics

Downloads
393
Abstract Views
1,667
rank
74,982
PlumX Metrics