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The Malliavin gradient method for calibration of stochastic volatility
models
Abstract
We discuss the application of gradient methods to calibrate mean reverting
stochastic volatility models. For this we use formulas based on Girsanov
transformations as well as a modification of the Bismut-Elworthy formula to
compute the derivatives of certain option prices with respect to the
parameters of the model by applying Monte Carlo methods. The article
presents an extension of the ideas to apply Malliavin calculus methods in
the computation of Greek's.