Computation of the Delta of European options under stochastic volatility models

Yolcu Okur, Yeliz
Sayer, Tilman
Yılmaz, Bilgi
Inkaya, B. Alper
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.


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Citation Formats
Y. Yolcu Okur, T. Sayer, B. Yılmaz, and B. A. Inkaya, “Computation of the Delta of European options under stochastic volatility models,” COMPUTATIONAL MANAGEMENT SCIENCE, pp. 213–237, 2018, Accessed: 00, 2020. [Online]. Available: