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
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply...
We derive derivative-free formulas for the delta and other Greeks of options written on an asset mod...
We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck pro...
The Greeks of options are problematic to calculate both numerically and analytically when the struct...
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus unde...
A well-known application of Malliavin calculus in mathematical finance is the probabilistic represen...
This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus ...
El trabajo que se presenta está enmarcado dentro de la teoría de procesos estocásticos aplicados a l...
We discuss the application of gradient methods to calibrate mean reverting stochastic volatility mod...
We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European o...
This paper derives an analytic expression for the distribution of the average volatility ds in the s...
We discuss the application of gradient methods to calibrate mean reverting stochastic volatility mod...
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. ...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
We prove that the Heston volatility is Malliavin differentiable under the classical Novikov conditio...
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply...
We derive derivative-free formulas for the delta and other Greeks of options written on an asset mod...
We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck pro...
The Greeks of options are problematic to calculate both numerically and analytically when the struct...
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus unde...
A well-known application of Malliavin calculus in mathematical finance is the probabilistic represen...
This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus ...
El trabajo que se presenta está enmarcado dentro de la teoría de procesos estocásticos aplicados a l...
We discuss the application of gradient methods to calibrate mean reverting stochastic volatility mod...
We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European o...
This paper derives an analytic expression for the distribution of the average volatility ds in the s...
We discuss the application of gradient methods to calibrate mean reverting stochastic volatility mod...
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. ...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
We prove that the Heston volatility is Malliavin differentiable under the classical Novikov conditio...
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply...
We derive derivative-free formulas for the delta and other Greeks of options written on an asset mod...
We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck pro...
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