Computation of the Delta of European Options under Stochastic Volatility Models

Date

2014-11-15

Author

Yılmaz, Bilgi
Yolcu Okur, Yeliz
İnkaya, Bülent Alper

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https://hdl.handle.net/11511/79164

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Computation of the Delta of European options under stochastic volatility models Yolcu Okur, Yeliz; Sayer, Tilman; Yılmaz, Bilgi; Inkaya, B. Alper (2018-06-01) 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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Citation Formats

B. Yılmaz, Y. Yolcu Okur, and B. A. İnkaya, “Computation of the Delta of European Options under Stochastic Volatility Models,” 2014, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/79164.