Sensitivity analysis in a market with memory
AbstractA general market model with memory is considered. The formulation is given in terms of stochastic functional di?erential equations, which allow for ?exibility in the modeling of market memory and delays. We focus on the sensitivity analysis of the dependence of option prices on the memory. This implies a generalization of the concept of delta. Our techniques use Malliavin calculus and Fr\'echet derivation. When it comes to option prices, we consider both the risk-neutral and the benchmark approaches and we compute the delta in both cases. Some examples are provided.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1312.5116.
Date of creation: Dec 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
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