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Computation of Greeks Using Malliavin Calculus

dc.contributor.advisorNualart, David
dc.contributor.authorPavlenko, Oleksandr
dc.date.accessioned2016-01-03T03:33:41Z
dc.date.available2016-01-03T03:33:41Z
dc.date.issued2015-08-31
dc.date.submitted2015
dc.identifier.otherhttp://dissertations.umi.com/ku:14143
dc.identifier.urihttp://hdl.handle.net/1808/19545
dc.description.abstractThe 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.
dc.format.extent40 pages
dc.language.isoen
dc.publisherUniversity of Kansas
dc.rightsCopyright held by the author.
dc.subjectMathematics
dc.subjectgreeks
dc.subjectMalliavin calculus
dc.titleComputation of Greeks Using Malliavin Calculus
dc.typeThesis
dc.contributor.cmtememberPasik-Duncan, Bozenna
dc.contributor.cmtememberHu, Yaozhong
dc.thesis.degreeDisciplineMathematics
dc.thesis.degreeLevelM.A.
dc.rights.accessrightsopenAccess


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