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arXiv:0904.3247 [math.PR]AbstractReferencesReviewsResources

Computations of Greeks in stochastic volatility models via the Malliavin calculus

Youssef El-Khatib

Published 2009-04-21Version 1

We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.

Categories: math.PR
Subjects: 91B24, 91B26, 91B28, 60H07
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