Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach

Mishari Al-Foraih, Jan Posp\'i\v{s}il and Josep Vives

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Abstract: Using Malliavin calculus techniques we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. In particular we obtain formulas for rough versions of Stein-Stein, SABR and Bergomi models and numerically demonstrate the convergence.

Date: 2023-12
New Economics Papers: this item is included in nep-rmg
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