Vives, Josep; León, Jorge A.; Utzet, Frederic; Solé, … - In: Finance and Stochastics 6 (2002) 2, pp. 197-225
Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Lévy processes has been proved, has … enabled us to develop a Malliavin calculus for Lévy processes. For simple Lévy processes some useful formulas for computing …