Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Levy processes has been proved, has enabled us to develop a Malliavin calculus for Levy processes. For simple Levy processes some useful formulas for computing Malliavin derivatives are deduced. Applications for option hedging in a jump-diffusion model are given.
['Jorge A. León', 'Josep Lluís Solé', 'Frederic Utzet', 'Josep Vives']
I am writing a research paper on a idea On Lévy processes, Malliavin calculus and market models with jumps
[{"from": "human", "value": "I am writing a research paper on a idea On L\u00e9vy processes, Malliavin calculus and market models with jumps"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: Recent work by Nualart and Schoutens (2000), where a kind of chaotic property for Levy processes has been proved, has enabled us to develop a Malliavin calculus for Levy processes. For simple Levy processes some useful formulas for computing Malliavin derivatives are deduced. Applications for option hedging in a jump-diffusion model are given."}]