Computation of the Delta of European Options Under Stochastic Volatility Models
| Autor: | Bilgi Yilmaz, B. Alper Inkaya, Tilman Sayer, Yeliz Yolcu-Okur |
|---|---|
| Přispěvatelé: | Publica |
| Jazyk: | angličtina |
| Rok vydání: | 2016 |
| Předmět: |
Delta
021103 operations research Stochastic volatility Computation Malliavin calculus 0211 other engineering and technologies Stochastic calculus Greeks 02 engineering and technology Type (model theory) 01 natural sciences Management Information Systems Heston model 010104 statistics & probability Mathematics::Probability Order (business) Econometrics Applied mathematics 0101 mathematics stochastic volatility Information Systems Mathematics |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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