| dc.contributor.advisor | Nualart, David | |
| dc.contributor.author | Pavlenko, Oleksandr | |
| dc.date.accessioned | 2016-01-03T03:33:41Z | |
| dc.date.available | 2016-01-03T03:33:41Z | |
| dc.date.issued | 2015-08-31 | |
| dc.date.submitted | 2015 | |
| dc.identifier.other | http://dissertations.umi.com/ku:14143 | |
| dc.identifier.uri | http://hdl.handle.net/1808/19545 | |
| dc.description.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. | |
| dc.format.extent | 40 pages | |
| dc.language.iso | en | |
| dc.publisher | University of Kansas | |
| dc.rights | Copyright held by the author. | |
| dc.subject | Mathematics | |
| dc.subject | greeks | |
| dc.subject | Malliavin calculus | |
| dc.title | Computation of Greeks Using Malliavin Calculus | |
| dc.type | Thesis | |
| dc.contributor.cmtemember | Pasik-Duncan, Bozenna | |
| dc.contributor.cmtemember | Hu, Yaozhong | |
| dc.thesis.degreeDiscipline | Mathematics | |
| dc.thesis.degreeLevel | M.A. | |
| dc.rights.accessrights | openAccess | |
