Computation of the Delta of European options under stochastic volatility models

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 accurac...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Computational management science 2018-06, Vol.15 (2), p.213-237
Hauptverfasser: Yolcu-Okur, Yeliz, Sayer, Tilman, Yilmaz, Bilgi, Inkaya, B. Alper
Format: Artikel
Sprache:eng
Schlagworte:
Business and Management
Calculus
Mathematical models
Operations Research/Decision Theory
Optimization
Original Paper
Stochastic models
Volatility
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:1619-697X
1619-6988
DOI:10.1007/s10287-018-0316-y