Integration by parts formula for locally smooth laws and applications to sensitivity computations (Q2467110)

The authors develop a Malliavin type calculus for functionals of the form \(F=f(V_1,\dots,V_n)\), where \(f\) is a smooth function and the \(V_i\)'s are random variables with absolutely continuous law \(p_i(y)dy\) which is assumed to be piecewise differentiable. An integration by parts formula is derived, which the authors then apply for numerical computations of sensitivities in a financial market model which is driven by a Lévy process.