Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
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- Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-752.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2024-01-15 (Risk Management)
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