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Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
- Publication Year :
- 2023
-
Abstract
- Using Malliavin calculus techniques we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. In particular we obtain formulas for rough versions of Stein-Stein, SABR and Bergomi models and numerically demonstrate the convergence.
- Subjects :
- Quantitative Finance - Mathematical Finance
60G22, 91G20, 91G60
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2312.00405
- Document Type :
- Working Paper