Jump SDEs and the Study of Their Densities pp 203-230 | Cite as

# Sensitivity Formulas

## Abstract

In many applied problems, one needs to compute expectations of a function of a random variable which are obtained through a certain theoretical development. This is the case of \( \mathbb {E}[G(Z_t)] \), where *Z* is a Lévy process with Lévy measure \( \nu \) which may depend on various parameters. Similarly, *G* is a real-valued bounded measurable function which may also depend on some parameters and is not necessarily smooth. For many stability reasons one may be interested in having explicit expressions for the partial derivatives of the previous expectation with respect to the parameters in the model. These quantities are called “Greeks” in finance but they may have different names in other fields.