On Lévy processes, Malliavin calculus and market models with jumps

被引：0

作者：

Jorge A. León

Josep L. Solé

Frederic Utzet

Josep Vives

机构：

[1] Departamento de Matemáticas,

[2] CINVESTAV-IPN,undefined

[3] Apartado Postal 14-740,undefined

[4] 07000 México,undefined

[5] D.F.,undefined

[6] México (e-mail: jleon@math.cinvestav.mx) ,undefined

[7] Departament de Matemàtiques,undefined

[8] Edifici Cc,undefined

[9] Universitat Autònoma de Barcelona,undefined

[10] 08193 Bellaterra (Barcelona) Spain (e-mail: jllsole@mat.uab.es,undefined

[11] utzet@mat.uab.es,undefined

[12] vives@mat.uab.es) ,undefined

来源：

Finance and Stochastics | 2002年 / 6卷

关键词：

Key words: Lévy processes, Malliavin calculus, jump diffusion model, option hedging; JEL Classification: G12; Mathematics Subject Classification (1991): 60H40, 60G20;

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学科分类号：

摘要：

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.

引用

页码：197 / 225

页数：28