On Lévy processes, Malliavin calculus and market models with jumps

Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Lévy processes has been proved, has enabled us to develop a Malliavin calculus for Lévy processes. For simple Lévy processes some useful formulas for computing Malliavin derivatives are deduced. Applications for option hedging in a jump-diffusion model are given.

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Year of publication:	2002-03-12
Authors:	Vives, Josep ; León, Jorge A. ; Utzet, Frederic ; Solé, Josep L.
Published in:	Finance and Stochastics. - Springer. - Vol. 6.2002, 2, p. 197-225
Publisher:	Springer
Subject:	Lévy processes \| Malliavin calculus \| jump diffusion model \| option hedging

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: November 2000; final version received: May 2001
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005390667