Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (Q1645191)
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scientific article
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| English | Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus |
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Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (English)
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28 June 2018
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Malliavin calculus
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Bismut-Elworthy-Li formula
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computation of Greeks
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hybrid stochastic volatility models
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0.8082777261734009
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0.7916232347488403
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0.785427451133728
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0.780961275100708
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0.7785483598709106
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