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.

Palabras clave: Stochastic Finace Malliavin-Skorohod calculus Pricing and hedging financial derivatives computation of Greeks

M. González Velasco, C. Minuesa Abril, I. M. del Puerto García, A. N. Vidyashankar

M. D. RUIZ-MEDINA, J. M. Angulo

A. Gómez Corral, F. Palacios Rodríguez

A. DE LA PENA CUAO, A. J. Barrera García, J. J. Serrano Perez, F. A. Torres Ruiz