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

Fuente: arXiv

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Bibliographic Details
Main Authors:	Al-Foraih, Mishari, Burés, Òscar, Pospíšil, Jan, Vives, Josep
Format:	Preprint
Published:	2023
Subjects:	Mathematical Finance 60G22, 91G20, 91G60 G.3
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2312.00405