Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Computation of option greeks under hybrid stochastic volatility models
  via Malliavin calculus   This study introduces computation of option sensitivities (Greeks) using the
Malliavin calculus under the assumption that the underlying asset and interest
rate both evolve from a stochastic volatility model and a stochastic interest
rate model, respectively. Therefore, it integrates the recent developments in
the Malliavin calculus for the computation of Greeks: Delta, Vega, and Rho and
it extends the method slightly. The main results show that Malliavin calculus
allows a running Monte Carlo (MC) algorithm to present numerical
implementations and to illustrate its effectiveness. The main advantage of this
method is that once the algorithms are constructed, they can be used for
numerous types of option, even if their payoff functions are not
differentiable.

30
The categories of this paper are: q-alg
19
The categories of this paper are: eess
10
The categories of this paper are: q-bio
6
The categories of this paper are: astro-ph
32
The categories of this paper are: atom-ph
11
The categories of this paper are: hep-lat
9
The categories of this paper are: nlin
4
The categories of this paper are: cond-mat
33
The categories of this paper are: plasm-ph
18
The categories of this paper are: econ
28
The categories of this paper are: alg-geom
12
The categories of this paper are: nucl-th
21
The categories of this paper are: adap-org
15
The categories of this paper are: nucl-ex
0
The categories of this paper are: hep-ph
3
The categories of this paper are: physics