1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2025
Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus
Ayub Ahmadi, Mahdieh Tahmasebi
In financial mathematics, the calculation of the Greeks, especially the delta, is emphasized due to its role in risk management. In this article, we employ Malliavin calculus to de…
q-fin.PR2024★ 1 cited
Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
Ayub Ahmadi, Mahdieh Tahmasebi
This paper investigates the pricing of financial derivatives and the calculation of their delta Greek when the underlying asset is a jump-diffusion process in which the stochastic…