| dc.date.accessioned | 2013-12-19T16:10:26Z | |
| dc.date.available | 2013-12-19T16:10:26Z | |
| dc.date.created | 2013-12-19T11:34:16Z | |
| dc.date.issued | 2013 | |
| dc.identifier.uri | http://hdl.handle.net/10852/37937 | |
| dc.description.abstract | A 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 Fréchet 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. | |
| dc.language | EN | |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series: Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2013). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | SENSITIVITY ANALYSIS IN A MARKET WITH MEMORY | |
| dc.type | Research report | |
| dc.rights.holder | Copyright 2013 The Author(s) | |
| dc.creator.author | Banos, David Ruiz | |
| dc.creator.author | Di Nunno, Giulia | |
| dc.creator.author | Proske, Frank | |
| cristin.unitcode | 185,15,13,35 | |
| cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
| cristin.ispublished | true | |
| cristin.fulltext | preprint | |
| dc.identifier.cristin | 1079212 | |
| dc.identifier.pagecount | 31 | |
| dc.identifier.urn | URN:NBN:no-40027 | |
| dc.type.document | Forskningsrapport | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/37937/2/P1-2.pdf | |