Abstract
The main goal of this paper is to study sensitivity analysis, with respect to the parameters of the model, in the framework of time-inhomogeneous Levy process. This is a slight generalization of recent results of Fournie et al. (Finance Stochast 3(4): 391-412, 1999 [9]), El-Khatib and Privault (Finance Stochast 8(2): 161-179, 2004 [7]), Bally et al. (Ann Appl Probab 17(1): 33-66, 2007 [1]), Davis and Johans-son (Stochast Process Appl 116(1): 101-129, 2006 [5]), Petrou (Electron J Probab 13(27): 852-879, 2008 [12]), Benth et al. (Commun Stochast Anal 5(2): 285-307, 2011 [2]) and El-Khatib and Hatemi (J Statist Appl Probab 3(1): 171-182, 2012 [8]), using Malliavin calculus developed by Yablonski (Rocky Mountain J Math 38: 669701, 2008 [16]). This relatively recent result will help us to provide tools that are necessary for the calculation of the sensitivities. We provide some simple examples to illustrate the results achieved. In particular, we discussed the time-inhomogeneous versions of the Merton model and the Bates model.