  In this paper, the pricing of financial derivatives and the calculation of
their delta Greek are investigated as the underlying asset is a jump-diffusion
process in which the stochastic intensity component follows the CIR process.
Utilizing Malliavin derivatives for pricing financial derivatives and
challenging to find the Malliavin weight for accurately calculating delta will
be established in such models. Due to the dependence of asset price on the
information of the intensity process, conditional expectation attribute to show
boundedness of moments of Malliavin weights and the underlying asset is
essential. Our approach is validated through numerical experiments,
highlighting its effectiveness and potential for risk management and hedging
strategies in markets characterized by jump and stochastic intensity dynamics.
