An application of the Malliavin calculus in finance

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University of Pretoria

Abstract

This dissertation provides a brief theoretical introduction to the Malliavin calculus leading to a particular application in finance. The Malliavin calculus concepts are used to aid in the simulation of the Greeks for financial contingent claims. Particular focus is placed on creating efficiency in the more exotic type option simulations, where no closed solution pricing formulae exist. Copyright

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Dissertation (MSc)--University of Pretoria, 2009.

Keywords

Greeks, Stochastic calculus of variations, Malliavin calculus, UCTD

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Fordred, GI 2009, An application of the Malliavin calculus in finnace, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/26091 >