Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus
Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a stochastic volatility model and a stochastic interest rate model, respectively. Therefore, it integrates the recent developments in the Malliavin calculus for the computation of …