Computation of the Delta of European Options Under Stochastic Volatility Models

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

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Year of publication:	2016
Authors:	Yolcu-Okur, Yeliz
Other Persons:	Sayer, Tilman (contributor) ; Yilmaz, Bilgi (contributor) ; Inkaya, B. Alper (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2016 erstellt
Other identifiers:	10.2139/ssrn.2877709 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012978371