Computation of the Delta of European options under stochastic volatility models

YOLCU OKUR Y., Sayer T., YILMAZ B., Inkaya B. A.

COMPUTATIONAL MANAGEMENT SCIENCE, cilt.15, sa.2, ss.213-237, 2018 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 15 Sayı: 2
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1007/s10287-018-0316-y
  • Dergi Adı: COMPUTATIONAL MANAGEMENT SCIENCE
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Sayfa Sayıları: ss.213-237
  • Anahtar Kelimeler: Greeks, Malliavin calculus, Stochastic volatility, MALLIAVIN CALCULUS, GREEKS
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

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.