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

Procesos Estocásticos y sus aplicaciones III
12 de junio de 2025  11:30
Auditorio 2. Leandre Cristòfol

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