Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model

We derive derivative-free formulas for the Delta and other Greeks of options written on an asset modelled by a geometric Brownian motion with stochastic volatility of Barndorff-Nielsen and Shephard type. The method applies the Malliavin calculus in Wiener space which moves differentiation of the payoff function of the option to a random weight function. Our method paves the way for simple Monte Carlo approaches, illustrated by several numerical examples.