David, Delphine; Privault, Nicolas - In: Quantitative Finance 9 (2009) 6, pp. 727-735
Using the Malliavin calculus in time inhomogeneous jump-diffusion models, we obtain an expression for the sensitivity Theta of an option price (with respect to maturity) as the expectation of the option payoff multiplied by a stochastic weight. This expression is used to design efficient...