抄録
Some numerical results with respect to sensitivity analysis are given under a linear stochastic differential equation with long memory by using fractional Brownian motion. They are related to Greeks calculations in mathematical finance. In order to simulate them, formulas driven by the Malliavin calculus are used. Those results are the same as in the case of standard Brownian motion. That is, in the case of discontinuous payoff functions, results of the Malliavin method are stabler than ones of the finite difference method. Also they are true even in 2-dimensional situations for discontinuous payoff functions.
