Price sensitivities for a general stochastic volatility model

zbMath1427.60062arXiv1705.02474MaRDI QIDQ5205070

Abdulnasser Hatemi-J, Youssef El-Khatib

Publication date: 10 December 2019

Full work available at URL: https://arxiv.org/abs/1705.02474

zbMATH Keywords

Brownian motionstochastic volatilityMalliavin calculusIto formulaSDEsprice sensitivities

Mathematics Subject Classification ID

Gaussian processes (60G15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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