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Thesis

Applications of Malliavin calculus to the pricing and hedging of Bermudan options

Abstract:

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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Publication date:
2011-06-24
URN:
uuid:2bf36bcd-200a-4527-9722-ba24d6f01158
Local pid:
oai:eprints.maths.ox.ac.uk:1381

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