  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.
