英文标题：
《Computation of option greeks under hybrid stochastic volatility models
via Malliavin calculus》
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作者：
Bilgi Yilmaz
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最新提交年份：
2018
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英文摘要：
This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a stochastic volatility model and a stochastic interest rate model, respectively. Therefore, it integrates the recent developments in the Malliavin calculus for the computation of Greeks: Delta, Vega, and Rho and it extends the method slightly. The main results show that Malliavin calculus allows a running Monte Carlo (MC) algorithm to present numerical implementations and to illustrate its effectiveness. The main advantage of this method is that once the algorithms are constructed, they can be used for numerous types of option, even if their payoff functions are not differentiable.
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中文摘要：
本研究引入了在基础资产和利率分别从随机波动率模型和随机利率模型演变而来的假设下，使用Malliavin演算计算期权敏感性（希腊语）。因此，它整合了马利雅文微积分在希腊计算中的最新发展：Delta、Vega和Rho，并略微扩展了该方法。主要结果表明，Malliavin演算允许运行的蒙特卡罗（MC）算法呈现数值实现并说明其有效性。这种方法的主要优点是，一旦构建了算法，它们就可以用于多种类型的期权，即使它们的支付函数是不可微的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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