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Clark-Ocone formula for the maximum of processes with the stochastic intensity and its application
Mahdieh Tahmasebi · 2025-05-24 · via math.PR updates on arXiv.org

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.

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