COMPUTATIONAL MANAGEMENT SCIENCE, vol.15, no.2, pp.213-237, 2018 (Peer-Reviewed Journal)
Article / Article
COMPUTATIONAL MANAGEMENT SCIENCE
Emerging Sources Citation Index, Scopus
Greeks, Malliavin calculus, Stochastic volatility, MALLIAVIN CALCULUS, GREEKS
We employ Malliavin calculus techniques to compute the Delta of European type options in the presence of stochastic volatility. We obtain a general formula for the Malliavin weight and apply the derived formula to the well known models of Stein-Stein and Heston in order to show the numerical accuracy and efficiency of our approach.