Sensitivity analysis in a market with memory
Probability
2017-01-24 v2 Pricing of Securities
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.
Keywords
Cite
@article{arxiv.1312.5116,
title = {Sensitivity analysis in a market with memory},
author = {David R. Banos and Giulia Di Nunno and Frank Proske},
journal= {arXiv preprint arXiv:1312.5116},
year = {2017}
}
Comments
Withdrawn by the authors due to an error in equation (2.6). A new work is in preparation