Abstract.
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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Manuscript received: November 2000; final version received: May 2001
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León, J., Solé, J., Utzet, F. et al. On Lévy processes, Malliavin calculus and market models with jumps. Finance Stochast 6, 197–225 (2002). https://doi.org/10.1007/s007800100055
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DOI: https://doi.org/10.1007/s007800100055
