Computation of the Delta of European options under stochastic volatility models

DOI10.1007/s10287-018-0316-yzbMath1417.91518OpenAlexW2600979152WikidataQ129807400 ScholiaQ129807400MaRDI QIDQ1616804

B. Alper Inkaya, Tilman Sayer, Bilgi Yilmaz, Yeliz Yolcu-Okur

Publication date: 7 November 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0316-y

zbMATH Keywords

stochastic volatilityMalliavin calculusGreeks

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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On the application of Wishart process to the pricing of equity derivatives: the multi-asset case

Cites Work

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