A general market model with memory is considered . The formulation is given in terms of stochastic functional differential equations , which allow for flexibility 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 .
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 .
D
. The formulation is given
R
, which allow for flexibility in the modeling of market memory and delays. We focus on
. We aim at representation formulae for
D
. 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