Clark-Ocone formula for the maximum of processes with the stochastic intensity and its application

Abstract

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.