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    Computation of Greeks Using Malliavin Calculus

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    Pavlenko_ku_0099M_14143_DATA_1.pdf (216.4Kb)
    Issue Date
    2015-08-31
    Author
    Pavlenko, Oleksandr
    Publisher
    University of Kansas
    Format
    40 pages
    Type
    Thesis
    Degree Level
    M.A.
    Discipline
    Mathematics
    Rights
    Copyright held by the author.
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    Abstract
    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.
    URI
    http://hdl.handle.net/1808/19545
    Collections
    • Mathematics Dissertations and Theses [179]
    • Theses [3772]

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    785-864-8983
    KU Libraries
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    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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