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- Title
Price sensitivities for a general stochastic volatility model.
- Authors
El-Khatib, Youssef; Hatemi-J., Abdulnasser
- Abstract
This paper deals with the calculation of price sensitivities for stochastic volatility models. General forms for the dynamics of the underlying asset price and its volatility are considered. We make use of the chaotic (i.e. Malliavin) calculus to compute the price sensitivities. The obtained results are applied to several recent stochastic volatility models as well as the existing ones that are commonly used by practitioners. Each price sensitivity is a source of financial risk. The suggested formulas are expected to improve on the hedging of the underlying risk.
- Subjects
PRICE sensitivity; STOCHASTIC models; FINANCIAL risk; MALLIAVIN calculus; BROWNIAN motion
- Publication
Nonlinear Studies, 2019, Vol 26, Issue 2, p415
- ISSN
1359-8678
- Publication type
Article