Cover Image

Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Ahmadi, Ayub, Tahmasebi, Mahdieh
Format:	Preprint
Published:	2024
Subjects:	Pricing of Securities Probability 60H07, 60G55, 91G20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus
by: Ahmadi, Ayub, et al.
Published: (2025)

Clark-Ocone formula for the maximum of processes with the stochastic intensity and its application
by: Tahmasebi, Mahdieh
Published: (2025)

Rough Bergomi turns grey
by: Jacquier, Antoine, et al.
Published: (2025)

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
by: Baños, David R., et al.
Published: (2023)

A Limit Order Book Model for High Frequency Trading with Rough Volatility
by: Chen-Shue, Yun, et al.
Published: (2024)

Jump risk premia in the presence of clustered jumps
by: Liu, Francis, et al.
Published: (2025)

Mild to classical solutions for XVA equations under stochastic volatility
by: Brigo, Damiano, et al.
Published: (2021)

On the Guyon-Lekeufack Volatility Model
by: Nutz, Marcel, et al.
Published: (2023)

Deep g-Pricing for CSI 300 Index Options with Volatility Trajectories and Market Sentiment
by: Zhang, Yilun, et al.
Published: (2026)

Occupied Processes: Going with the Flow
by: Tissot-Daguette, Valentin
Published: (2023)

G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty
by: Chen, Wei
Published: (2013)

At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
by: Hoffmeyer, Allen, et al.
Published: (2026)

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
by: Dimitrov, Mara Kalicanin, et al.
Published: (2025)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
by: Burés, Òscar
Published: (2025)

Filtering in a hazard rate change-point model with financial and life-insurance applications
by: Buttarazzi, Matteo, et al.
Published: (2025)

Higher-order ATM asymptotics for the CGMY model via the characteristic function
by: Hoffmeyer, Allen, et al.
Published: (2026)

Functional quantization of rough volatility and applications to volatility derivatives
by: Bonesini, Ofelia, et al.
Published: (2021)

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
by: Alòs, Elisa, et al.
Published: (2025)

Gatheral double stochastic volatility model with Skorokhod reflection
by: Mishura, Yuliya, et al.
Published: (2025)

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
by: Mink, Mark, et al.
Published: (2022)

Random neural networks for rough volatility
by: Jacquier, Antoine, et al.
Published: (2023)

Signature volatility models: pricing and hedging with Fourier
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
by: Xu, Huansang, et al.
Published: (2023)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
by: Fernholz, Ricardo T., et al.
Published: (2023)

Malliavin calculus for marked binomial processes: portfolio optimisation in the trinomial model and compound Poisson approximation
by: Halconruy, Hélène
Published: (2021)

Multifactor Quadratic Hobson and Rogers models
by: Foschi, Paolo
Published: (2025)

Pricing of geometric Asian options in the Volterra-Heston model
by: Aichinger, Florian, et al.
Published: (2024)

A functional variational approach to pricing path dependent insurance policies
by: Baños, David R., et al.
Published: (2024)

Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
by: Ahmed, Aqib, et al.
Published: (2026)

Improved model-free bounds for multi-asset options using option-implied information and deep learning
by: Dragazi, Evangelia, et al.
Published: (2024)

Stochastic PDEs for large portfolios with general mean-reverting volatility processes
by: Hambly, Ben, et al.
Published: (2019)

The insider problem in the trinomial model: a discrete-time jump process approach
by: Halconruy, Hélène
Published: (2021)

Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
by: Agazzotti, Gaetano, et al.
Published: (2025)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
by: Bossu, Sebastien, et al.
Published: (2025)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
by: Tissot-Daguette, Valentin
Published: (2026)

Stochastic mortality models: An infinite dimensional approach
by: Tappe, Stefan, et al.
Published: (2019)

Interest rate convexity in a Gaussian framework
by: Jacquier, Antoine, et al.
Published: (2023)

Smile asymptotics for Bachelier implied volatility
by: Baviera, Roberto, et al.
Published: (2025)

The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
by: Huang, Zhipeng, et al.
Published: (2026)

Density of imaginary multiplicative chaos via Malliavin calculus
by: Aru, Juhan, et al.
Published: (2020)