On Lévy processes, Malliavin calculus and market models with jumps

DOI10.1007/s007800100055zbMath1005.60067OpenAlexW2138253781MaRDI QIDQ1849791

Josep Vives, Frederic Utzet, Josep Lluís Solé, Jorge A. Leon

Publication date: 1 December 2002

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800100055

zbMATH Keywords

Lévy processesMalliavin calculusoption hedgingjump diffusion model

Mathematics Subject Classification ID

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