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<p>In this paper, by Malliavin calculus for Wiener–Poisson functionals, Bismut formulas for the parameter of mean-field stochastic differential equations (SDEs) with jumps are established. As applications, formulas for the Greeks are derived for asset price processes described by mean-field SDEs with or without jumps. Both European and Asian options are considered. Numerical results illustrate that the obtained formulas have better effects than the finite difference method in computing the Greeks.</p>

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Sensitivity Analysis for Mean-Field Stochastic Differential Equations with Jumps and Its Applications in Option Pricing

  • 期刊论文

  • 发表日期：

    2026年3月7日

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  • Sijia Qin,
  • Yulin Song,
  • Zengwu Wang,
  • Yihui Zhang

摘要

In this paper, by Malliavin calculus for Wiener–Poisson functionals, Bismut formulas for the parameter of mean-field stochastic differential equations (SDEs) with jumps are established. As applications, formulas for the Greeks are derived for asset price processes described by mean-field SDEs with or without jumps. Both European and Asian options are considered. Numerical results illustrate that the obtained formulas have better effects than the finite difference method in computing the Greeks.