Computation of the Delta of European Options Under Stochastic Volatility Models
19 Pages Posted: 2 Dec 2016
Date Written: November 30, 2016
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
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