Price sensitivities for a general stochastic volatility model

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1 Citation (Scopus)


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.

Original languageEnglish
Pages (from-to)415-423
Number of pages9
JournalNonlinear Studies
Issue number2
Publication statusPublished - 2019


  • Brownian motion
  • Ito formula
  • Malliavin Calculus
  • Price sensitivities
  • SDEs
  • Stochastic volatility

ASJC Scopus subject areas

  • Modelling and Simulation
  • Applied Mathematics


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