{
  "id": "0904.3247",
  "version": "v1",
  "published": "2009-04-21T13:20:12.000Z",
  "updated": "2009-04-21T13:20:12.000Z",
  "title": "Computations of Greeks in stochastic volatility models via the Malliavin calculus",
  "authors": [
    "Youssef El-Khatib"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We compute Greeks for stochastic volatility models driven by Brownian informations. We use the Malliavin method introduced for deterministic volatility models.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2009-04-21T13:20:12.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "91B24",
      "91B26",
      "91B28",
      "60H07"
    ],
    "keywords": [
      "malliavin calculus",
      "stochastic volatility models driven",
      "computations",
      "deterministic volatility models",
      "brownian informations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009arXiv0904.3247E"
    }
  }
}