Malliavin Calculus for Pure Jump Processes and Applications to Finance

DOI10.1016/S1570-8659(08)00007-0zbMath1180.91321OpenAlexW1554275209MaRDI QIDQ3631189

Marouen Messaoud, Marie-Pierre Bavouzet, Vlad Bally

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00007-0

zbMATH Keywords

Malliavin calculusintegration by partsAmerican optionEuropean optionpure jump processBismut approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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