ar X iv : m at h / 05 09 01 6 v 1 [ m at h . PR ] 1 S ep 2 00 5 CALCULATION OF GREEKS FOR JUMP - DIFFUSIONS

نویسنده

  • JOSEF TEICHMANN
چکیده

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.

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تاریخ انتشار 2005