Computations of Greeks in stochastic volatility models via the Malliavin calculus

Publication date 21 April 2009

Stochastic calculus of variations and the Malliavin calculus (60H07) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Abstract: We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.

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