Computations of Greeks in stochastic volatility models via the Malliavin calculus

Details Computations of Greeks in stochastic volatility models via the Malliavin calculus Computations of Greeks in stochastic volatility models via the Malliavin calculus

2009-04-21

arxiv.org/abs/0904.3247v1

Mathematics

Probability

Scientific paper

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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