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2008 Malliavin Calculus in Lévy spaces and Applications to Finance.
Evangelia Petrou
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Electron. J. Probab. 13: 852-879 (2008). DOI: 10.1214/EJP.v13-502

Abstract

The main goal of this paper is to generalize the results of Fournie et al. [7] for markets generated by Lévy processes. For this reason we extend the theory of Malliavin calculus to provide the tools that are necessary for the calculation of the sensitivities, such as differentiability results for the solution of a stochastic differential equation.

Citation

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Evangelia Petrou. "Malliavin Calculus in Lévy spaces and Applications to Finance.." Electron. J. Probab. 13 852 - 879, 2008. https://doi.org/10.1214/EJP.v13-502

Information

Accepted: 8 May 2008; Published: 2008
First available in Project Euclid: 1 June 2016

zbMATH: 1193.60075
MathSciNet: MR2399298
Digital Object Identifier: 10.1214/EJP.v13-502

Subjects:
Primary: 60H07
Secondary: 60G51

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Vol.13 • 2008
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