Computation of the Delta of European Options Under Stochastic Volatility Models

19 Pages Posted: 2 Dec 2016

See all articles by Yeliz Yolcu-Okur

Yeliz Yolcu-Okur

Middle Eastern Technical University Ankara

Tilman Sayer

Advanced Logic Analytics

Bilgi Yilmaz

Middle Eastern Technical University Ankara

B. Alper Inkaya

Middle Eastern Technical University Ankara

Date Written: November 30, 2016

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

Suggested Citation

Yolcu-Okur, Yeliz and Sayer, Tilman and Yilmaz, Bilgi and Inkaya, B. Alper, Computation of the Delta of European Options Under Stochastic Volatility Models (November 30, 2016). Available at SSRN: https://ssrn.com/abstract=2877709 or http://dx.doi.org/10.2139/ssrn.2877709

Yeliz Yolcu-Okur (Contact Author)

Middle Eastern Technical University Ankara ( email )

Ankara
Turkey

Tilman Sayer

Advanced Logic Analytics

London
United Kingdom

Bilgi Yilmaz

Middle Eastern Technical University Ankara ( email )

Ankara
Turkey

B. Alper Inkaya

Middle Eastern Technical University Ankara ( email )

Ankara
Turkey

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