Joint distributions for stochastic functional differential equations

DOI10.1080/17442508.2015.1137575MaRDI QIDQ2833697zbMATH OpenOpenAlexFDO

Authors Atsushi Takeuchi

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.01093

zbMATH Keywords

Malliavin calculusdensity functionstochastic functional differential equationsoption pricing formulacomputations of the Greeks

Mathematics Subject Classification ID

Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic functional-differential equations (34K50) Financial applications of other theories (91G80)

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.

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Cited in

(3)

• Smoothness of densities for path-dependent SDEs under Hörmander's condition
• Probability density function of SDEs with unbounded and path-dependent drift coefficient
• Stationary distribution of mean-field stochastic functional differential equations with jumps

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