# Price sensitivities for a general stochastic volatility model

## TL;DR

This paper develops a unified approach using Malliavin calculus to compute price sensitivities in various stochastic volatility models, aiming to enhance hedging strategies and risk management.

## Contribution

It introduces a general framework for calculating sensitivities across multiple stochastic volatility models using chaotic calculus, improving upon existing methods.

## Key findings

- Formulas applicable to several models
- Enhanced accuracy in sensitivity computation
- Potential for improved hedging strategies

## Abstract

We deal with the calculation of price sensitivities for stochastic volatility models. General forms for the dynamics of the underlying asset price and its volatility are considered. We make use of the chaotic (or Malliavin) calculus to compute the price sensitivities. The obtained results are applied to several recent stochastic volatility models as well as the existing ones that are commonly used by practitioners. Each price sensitivity is a source of financial risk. The suggested formulas are expected to improve on the hedging of the underlying risk.