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

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  • Mishari Al-Foraih
  • Jan Posp'iv{s}il
  • Josep Vives

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.

Suggested Citation

  • Mishari Al-Foraih & Jan Posp'iv{s}il & Josep Vives, 2023. "Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach," Papers 2312.00405, arXiv.org.
    • Handle: RePEc:arx:papers:2312.00405
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    References listed on IDEAS

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    Cited by:

    1. Boris Ter-Avanesov & Gunter A. Meissner, 2024. "Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates," Papers 2411.16617, arXiv.org.

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