Computations of Greeks in stochastic volatility models via the Malliavin calculus
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Publication:6213620
arXiv0904.3247MaRDI QIDQ6213620FDOQ6213620
Authors: Youssef El-Khatib 
Publication date: 21 April 2009
Abstract: We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.
Stochastic calculus of variations and the Malliavin calculus (60H07) Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)
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