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

J. Vives, J. Pospisil, M. Alforaih, Ò. Burés

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

Keywords: Stochastic Finace, Malliavin-Skorohod calculus, Pricing and hedging financial derivatives, computation of Greeks

Stochastic processes and their applications III
June 12, 2025  11:30 AM
Auditorio 2. Leandre Cristòfol

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