We consider the infinite dimensional Heston stochastic volatility model proposed in Ref. 7. The price of a forward contract on a non-storable commodity is modeled by a generalized Ornstein–Uhlenbeck process in the Filipović space with this volatility. We prove a representation formula for the forward price. Then we consider prices of options written on these forward contracts and we study sensitivity analysis with computation of the Greeks with respect to different parameters in the model. Since these parameters are infinite dimensional, we need to reinterpret the meaning of the Greeks. For this we use infinite dimensional Malliavin calculus and a randomization technique.

中文翻译：

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无限维 Heston 模型中的敏感性分析

我们考虑参考文献中提出的无限维赫斯顿随机波动率模型。7. 不可储存商品远期合约的价格由具有这种波动性的 Filipović 空间中的广义 Ornstein-Uhlenbeck 过程建模。我们证明了远期价格的表示公式。然后我们考虑写在这些远期合约上的期权价格，并通过希腊人的计算研究模型中不同参数的敏感性分析。由于这些参数是无限维的，我们需要重新解释希腊人的含义。为此，我们使用无限维 Malliavin 演算和随机化技术。