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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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9eac3f51af360c76a10d8aa3287b820
https://publica.fraunhofer.de/handle/publica/246718
https://publica.fraunhofer.de/handle/publica/246718
