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Computation of the Delta of European options under stochastic volatility models
Date
2018-06-01
Author
Yolcu Okur, Yeliz
Sayer, Tilman
Yılmaz, Bilgi
Inkaya, B. Alper
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This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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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.
Subject Keywords
Greeks
,
Malliavin calculus
,
Stochastic volatility
URI
https://hdl.handle.net/11511/57677
Journal
COMPUTATIONAL MANAGEMENT SCIENCE
DOI
https://doi.org/10.1007/s10287-018-0316-y
Collections
Graduate School of Applied Mathematics, Article
