Joint distributions for stochastic functional differential equations
arXiv:1601.01093
Abstract
Consider stochastic functional differential equations, whose coefficients depend on past histories. The solution determines a non-Markov process. In the present paper, we shall obtain the existence of smooth densities for joint distributions of solutions, under the uniformly elliptic condition on the diffusion coefficients, via the Malliavin calculus. As an application, we shall study the computations of the Greeks on options associated with the asset price dynamics models with delayed effects.
25 pages, to appear in Stochastics: An International Journal of Probability and Stochastic Processes