Computations of Greeks in stochastic volatility models via the Malliavin calculus

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dc.creatorEl-Khatib, Youssef
dc.date2009-04-21
dc.date.accessioned2026-07-07T13:06:51Z
dc.date.available2026-07-07T13:06:51Z
dc.descriptionWe compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.
dc.identifierhttps://arxiv.org/abs/0904.3247
dc.identifierhttp://arxiv.org/abs/0904.3247
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/227912
dc.subjectProbability
dc.subject91B24, 91B26, 91B28, 60H07
dc.titleComputations of Greeks in stochastic volatility models via the Malliavin calculus
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