Computation of Greeks Using Malliavin Calculus
Issue Date
2015-08-31Author
Pavlenko, Oleksandr
Publisher
University of Kansas
Format
40 pages
Type
Thesis
Degree Level
M.A.
Discipline
Mathematics
Rights
Copyright held by the author.
Metadata
Show full item recordAbstract
The objective of this paper is to explore application of Malliavin calculus techniques to the problem of estimating greeks of financial derivative contracts. In the core of the method is the integration by parts formula of Malliavin calculus. After a short introduction to the theory of Malliavin calculus, the technique is described on different types of option contracts, such as vanilla calls, digital, Asian and some barrier and lookback options.
Collections
- Mathematics Dissertations and Theses [179]
- Theses [3772]
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