Sensitivity analysis in a market with memory
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🧮 math.PR
q-fin.PR
keywords
memoryanalysismarketsensitivityconceptconsidereddeltadependence
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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.
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