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20062021
most citedComputations of Greeks in stochastic volatility models via the Malliavin calculus

2 citations · 3 across the 10 of their papers we have counts for

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math.PR2017

Price sensitivities for a general stochastic volatility model

Youssef El-Khatib, Abdulnasser Hatemi-J

We deal with the calculation of price sensitivities for stochastic volatility models. General forms for the dynamics of the underlying asset price and its volatility are considered…

math.PR2009★ 2 cited

Computations of Greeks in stochastic volatility models via the Malliavin calculus

Youssef El-Khatib

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

math.PR2006

A stochastic volatility model with jumps

Youssef El-Khatib

We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensate…