Price sensitivities for a general stochastic volatility model

Abstract

We deal 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 Malliavin calculus to compute the price sensitvities. 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.