2025/05/23 by Tahmasebi, Mahdieh
#60G55 #60H07 #91G20 #FOS: Mathematics #Probability (math.PR)
paper · doi:10.48550/arxiv.2505.18370
Pricing of the lookback options using the Clark-Ocone formula for the underlying assets driven by stochastic Lévy processes requires computing the Malliavin derivatives of their maximum or minimum on the Wiener-Poisson space and their distributions. In this work, we will find a generalization of the explicit representation of the Clark-Ocone formula on the maximum of two types of Lévy processes with stochastic intensity: Cox processes with CIR-modeled intensities, and the Hawkes processes.