Sensitivities via Rough Paths
arXiv:1108.0852 · doi:10.1051/ps/2015001
Abstract
Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the Itô map associated to rough differential equations. These regularity results together with Malliavin calculus are applied to sensitivities analysis for stochastic differential equations driven by multidimensional Gaussian processes with continuous paths, especially fractional Brownian motions. Precisely, in that framework, results on computation of greeks for Itô's stochastic differential equations are extended. An application in mathematical finance, and simulations, are provided.
36 pages, 1 figure