Thesis
Applications of Malliavin calculus to the pricing and hedging of Bermudan options
- Abstract:
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The pricing of Bermudan options, which give the holder the right to buy or sell an underlying asset at a predetermined price and at a discretely spaced number of times prior to maturity, can be based on a deterministic method or on a probabilistic one. Deterministic methods such as finite differences lose their efficiency as the dimension of the problem increases, and they are therefore known to suffer from the "curse of dimensionality". Probabilistic methods enable us to overcome this proble...
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Authors
Bibliographic Details
- Publisher:
- oxford university;mathematical institute
- Publication date:
- 2011-06-24
Item Description
- UUID:
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uuid:2bf36bcd-200a-4527-9722-ba24d6f01158
- Local pid:
- oai:eprints.maths.ox.ac.uk:1381
- Deposit date:
- 2011-08-15
Related Items
Terms of use
- Copyright holder:
- Newbury, J
- Copyright date:
- 2011
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