Consider jump diffusion model proposed by Merton and Kou.
As far as i know, most paper only dealt the valuation of option under the jump diffusion model.
As i expected, because of the incompleteness of model, implication of the Greeks is somewhat different from that of continuous model.
Am i right?
Why does not the literature on jump diffusion model derive the Greek such as delta?
For example, we have formulas for some exotic option under the jump diffusion.
then we can obtain the delta by differentiating option price with respect to the asset
price. Is it possible to conduct risk analysis using this delta formula?