English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Tools annual

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools monthly

Global: Zendy Plus monthly

Presents the access of premium content as premium feature

Premium Content

Global: Zendy Plus annual

Global: Zendy Free Plan

In this paper we derive a Bismut-Elworthy-Li type formula with respect tostrong solutions to singular stochastic differential equations (SDE's) withadditive noise given by a multi-dimensional fractional Brownian motion withHurst parameter $H<1/2$. "Singular" here means that the drift vector field ofsuch equations is allowed to be merely bounded and integrable. As anapplication we use this representation formula for the study of pricesensitivities of financial claims based on a stock price model with stochasticvolatility, whose dynamics is described by means of fractional Brownian motiondriven SDE's.  Our approach for obtaining these results is based on Malliavin calculus andarguments of a recently developed "local time variational calculus".

A Bismut-Elworthy-Li Formula for Singular SDE's Driven by a Fractional Brownian Motion and Applications to Rough Volatility Modeling