Options
2016
Paper (Preprint, Research Paper, Review Paper, White Paper, etc.)
Title
Computation of the Delta of European Options Under Stochastic Volatility Models
Title Supplement
Published at SSRN
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.
Author(s)