Cover Image

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

Fuente: arXiv

Saved in:

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
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
by: Alòs, Elisa, et al.
Published: (2025)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
by: Burés, Òscar
Published: (2025)

Risk premium and rough volatility
by: Bonesini, Ofelia, et al.
Published: (2024)

Pricing American options under rough volatility using deep-signatures and signature-kernels
by: Bayer, Christian, et al.
Published: (2025)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

Pricing VIX options under the Heston-Hawkes stochastic volatility model
by: Font, Oriol Zamora
Published: (2024)

Rough PDEs for local stochastic volatility models
by: Bank, Peter, et al.
Published: (2023)

Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)

Analytic approximation for Bachelier option prices and applications
by: Alòs, Elisa, et al.
Published: (2026)

Efficient simulation of a new class of Volterra-type SDEs
by: Bonesini, Ofelia, et al.
Published: (2023)

Rough differential equations for volatility
by: Bonesini, Ofelia, et al.
Published: (2024)

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
by: Alfonsi, Aurélien, et al.
Published: (2026)

Rough volatility, path-dependent PDEs and weak rates of convergence
by: Bonesini, Ofelia, et al.
Published: (2023)

A Monotone Limit Approach to Entropy-Regularized American Options
by: Chee, Daniel, et al.
Published: (2026)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
by: Bourgey, Florian, et al.
Published: (2021)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
by: Tissot-Daguette, Valentin
Published: (2026)

Deep learning interpretability for rough volatility
by: Yuan, Bo, et al.
Published: (2024)

Gaussian Volterra processes as models of electricity markets
by: Mishura, Yuliya, et al.
Published: (2023)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
by: Choi, Jaehyuk, et al.
Published: (2023)

A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)

American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework
by: Shah, Roshan
Published: (2025)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)

Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
by: Das, Kaustav, et al.
Published: (2020)

Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
by: Friesen, Martin, et al.
Published: (2024)

Weak error estimates for rough volatility models
by: Friz, Peter K., et al.
Published: (2022)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
by: Dominguez, Alejandro Rodriguez
Published: (2026)

Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)

Gatheral double stochastic volatility model with Skorokhod reflection
by: Mishura, Yuliya, et al.
Published: (2025)

Betting Around the Clock: Time Change and Long Term Model Risk
by: Cherubini, Umberto
Published: (2026)

Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
by: Backhoff, Julio, et al.
Published: (2024)

Fast reliable pricing and calibration of the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2025)

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
by: Pra, Paolo Dai, et al.
Published: (2025)

Computing Systemic Risk Measures with Graph Neural Networks
by: Gonon, Lukas, et al.
Published: (2024)

Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
by: Karmi, Sohaib El
Published: (2026)