Application of the Malliavin Calculus for Computation of Greeks in Black-Sholes and Stochastic Volatility Models

Date

2013-07-04

Author

Yılmaz, Bilgi
İnkaya, Bülent Alper
Yolcu Okur, Yeliz

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The Greeks of options are problematic to calculate both numerically and analytically when the structure of the payoff function of option is complex. This problem can be solved by employing Malliavin calculus. In this study, we summarize the fundamentals of Malliavin Calculus which are useful for computing the sensitivities of options. Then, we use these fundamentals to derive explicit formulas for the Greeks of European and Asian options for the Black-Scholes model and Heston stochastic volatility model. Further, we numerically compute the Greeks of options on ISE and illustrate our results.

URI

https://hdl.handle.net/11511/77778

Conference Name

XXVI EURO-INFORMS 26th European Conferance on Operatioanl Research

Collections

Graduate School of Applied Mathematics, Conference / Seminar

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Citation Formats

B. Yılmaz, B. A. İnkaya, and Y. Yolcu Okur, “Application of the Malliavin Calculus for Computation of Greeks in Black-Sholes and Stochastic Volatility Models,” presented at the XXVI EURO-INFORMS 26th European Conferance on Operatioanl Research, Roma, İtalya, 2013, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/77778.