Computations of Greeks in stochastic volatility models via the Malliavin calculus

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We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.

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Probability, 91B24, 91B26, 91B28, 60H07

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http://salesiana.dossiersoluciones.com/handle/123456789/227912

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0904.3247
 http://arxiv.org/abs/0904.3247

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arXiv