El-Khatib, Youssef; Privault, Nicolas - In: Finance and Stochastics 8 (2004) 2, pp. 161-179
Using the Malliavin calculus on Poisson space we compute Greeks in a market driven by a discontinuous process with Poisson jump times and random jump sizes, following a method initiated on the Wiener space in [5]. European options do not satisfy the regularity conditions required in our...