Calculation of Greeks for Jump-Diffusions
Barbara Forster, Eva Lütkebohmert, Josef Teichmann · arXiv (Cornell University) · 2005
Abstract. Calculation of Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for usual Ito-diffusions. In this article we prove existence of Malliavin weights for jump diffusions under Hörmander conditions and hypotheses on the invertibility of the linkage operators. The main result – in the hypo-ellitpic case – is the invertibility of the covariance matrix, which enables – by usual methods – the construction of the relevant Malliavin weights. The message is that in fairly general jump-diffusion cases one should proceed such as in pure diffusion cases. In contrast to Davis et al. we do not need any separability assumptions. 1.