activity
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

collaborators
Showing 2009Show all

1 paper · 1 filter

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.