Thesis icon

Thesis

Pricing exotic options using improved strong convergence

Abstract:

Today, better numerical approximations are required for multi-dimensional SDEs to improve on the poor performance of the standard Monte Carlo integration. With this aim in mind, the material in the thesis is divided into two main categories, stochastic calculus and mathematical finance. In the former, we introduce a new scheme or discrete time approximation based on an idea of Paul Malliavin where, for some conditions, a better strong convergence order is obtained than the standard Milstein s...

Expand abstract

Actions


Access Document


Files:

Authors


More by this author
Institution:
University of Oxford
Research group:
OCIAM, Mathematical Finance Group
Oxford college:
St Catherine's College
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute
Role:
Author

Contributors

Role:
Supervisor
Role:
Supervisor
More from this funder
Funding agency for:
Klaus E. Schmitz Abe
Publication date:
2008
Type of award:
DPhil
Level of award:
Doctoral
URN:
uuid:5a9fb837-238f-46a7-976a-fe3bae0e7b09
Local pid:
ora:2076

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP