On The Price Sensitivities During Financial Crisis

The computation of the price sensitivities is of paramount importance in financial risk management. Several new approaches have been recently suggested in the literature for this purpose. However, there is lack of studies that investigate this issue during financial crises. During crises volatility is naturally higher than normal situations. This is going to affect the underlying option pricing. It is especially during the crisis that the investors require to have access to precise calculations in order to deal with the increased level of risk. This issue is especially relevant due to the globalization. Thus, to compute the price sensitivities in such a scenario is crucial. The issue that this paper addresses is the computation of sensitivities during the crisis period based on the Malliavin calculus.