Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a stochastic volatility model and a stochastic interest rate model, respectively. Therefore, it integrates the recent deve...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
VTeX
2018-04-01
|
| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/18-VMSTA100 |