Computations of Greeks in stochastic volatility models via the Malliavin calculus
Probability
2009-04-22 v1
Abstract
We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.
Keywords
Cite
@article{arxiv.0904.3247,
title = {Computations of Greeks in stochastic volatility models via the Malliavin calculus},
author = {Youssef El-Khatib},
journal= {arXiv preprint arXiv:0904.3247},
year = {2009}
}