Computation of the Delta of European options under stochastic volatility models

Yeliz Yolcu-Okur (), Tilman Sayer, Bilgi Yilmaz and B. Alper Inkaya
Additional contact information
Yeliz Yolcu-Okur: Middle East Technical University
Tilman Sayer: Advanced Logic Analytics Ltd.
Bilgi Yilmaz: Middle East Technical University
B. Alper Inkaya: Middle East Technical University

Computational Management Science, 2018, vol. 15, issue 2, No 5, 213-237

Abstract: Abstract 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.

Keywords: Greeks; Malliavin calculus; Stochastic volatility; 60H07; 91G20; 60H35 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s10287-018-0316-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0316-y

Ordering information: This journal article can be ordered from
http://www.springer. ... ch/journal/10287/PS2

DOI: 10.1007/s10287-018-0316-y

Access Statistics for this article

Computational Management Science is currently edited by Ruediger Schultz

More articles in Computational Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().