Computations of Greeks in stochastic volatility models via the Malliavin calculus

TL;DR

This paper develops a method to compute Greeks in stochastic volatility models using Malliavin calculus, extending techniques from deterministic models to more complex stochastic settings.

Contribution

It introduces a Malliavin calculus-based approach for Greeks computation in stochastic volatility models, advancing the methodology from deterministic to stochastic frameworks.

Findings

Effective computation of Greeks in stochastic volatility models.

Extension of Malliavin calculus techniques to stochastic settings.

Potential for improved accuracy in risk management.

Abstract

We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.