Sensitivity analysis in a market with memory

David R. Banos, Giulia Di Nunno and Frank Proske

Papers from arXiv.org

Abstract: A general market model with memory is considered in terms of stochastic functional differential equations. We aim at representation formulae for the sensitivity analysis of the dependence of option prices on the memory. This implies a generalization of the concept of delta.

Date: 2013-12, Revised 2017-01
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1312.5116

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