Corpus ID: 3966271

Sensitivity analysis of European options in jump-diffusion models via the Malliavin calculus on the Wiener space

@inproceedings{DebelleySensitivityAO,
  title={Sensitivity analysis of European options in jump-diffusion models via the Malliavin calculus on the Wiener space},
  author={Virginie Debelley and Nicolas Privault}
}
  • Virginie Debelley, Nicolas Privault
  • We present a Malliavin calculus approach to sensitivity analysis of European options in a jump-diffusion model. The lack of differentiability due to the presence of a jump component is tackled using partial differentials with respect to the (absolutely continuous) Gaussian part. The method appears to be particularly efficient to compute sensitivities with respect to the volatility parameter of the jump component. 
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