Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach

Published 1 Dec 2023 in q-fin.MF | (2312.00405v1)

Abstract: Using Malliavin calculus techniques we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. In particular we obtain formulas for rough versions of Stein-Stein, SABR and Bergomi models and numerically demonstrate the convergence.

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