Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus

DOI10.15559/18-VMSTA100zbMath1390.60198arXiv1806.06061WikidataQ129912575 ScholiaQ129912575MaRDI QIDQ1645191

Bilgi Yilmaz

Publication date: 28 June 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.06061

zbMATH Keywords

Malliavin calculusBismut-Elworthy-Li formulacomputation of Greekshybrid stochastic volatility models

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Sensitivity of option prices via fuzzy Malliavin calculus ⋮ European and Asian Greeks for exponential Lévy processes

Cites Work

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