Computation of the Delta of European options under stochastic volatility models

DOI10.1007/S10287-018-0316-YMaRDI QIDQ1616804zbMATH OpenOpenAlexWikidataFDO

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

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

GreeksMalliavin calculusstochastic volatility

Mathematics Subject Classification ID

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

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A didactic note on affine stochastic volatility models
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
• Empirical properties of asset returns: stylized facts and statistical issues
• Malliavin differentiability of a class of Feller-diffusions with relevance in finance
• On a Generalization of a Stochastic Integral
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Smart Monte Carlo: various tricks using Malliavin calculus
• Stock price distributions with stochastic volatility: an analytic approach
• The Malliavin Calculus and Related Topics

Cited in

(10)

• Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
• Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models
• Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
• Price sensitivities for a general stochastic volatility model
• Computing deltas without derivatives
• Computation of Delta Greek for Non-linear Models in Mathematical Finance
• An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method

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