On Lévy processes, Malliavin calculus and market models with jumps

Josep Vives (), Jorge A. León (), Frederic Utzet () and Josep L. Solé ()
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Josep Vives: Departament de Matemàtiques, Edifici Cc, Universitat Autònoma de Barcelona, 08193 Bellaterra Spain Manuscript
Jorge A. León: Departamento de Matemáticas, CINVESTAV-IPN, Apartado Postal 14-740, 07000 México, D.F., México
Frederic Utzet: Departament de Matemàtiques, Edifici Cc, Universitat Autònoma de Barcelona, 08193 Bellaterra Spain Manuscript
Josep L. Solé: Departament de Matemàtiques, Edifici Cc, Universitat Autònoma de Barcelona, 08193 Bellaterra Spain Manuscript

Finance and Stochastics, 2002, vol. 6, issue 2, 197-225

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.

Keywords: Lévy processes; Malliavin calculus; jump diffusion model; option hedging (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2002-03-12
Note: received: November 2000; final version received: May 2001
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Citations: View citations in EconPapers (13)

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