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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...

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Klaus Schmitz Abe More by this author
Publication date:
2008
URN:
uuid:ff7b4fa0-79ab-48aa-9c6e-f2f68b9a9be1
Local pid:
oai:eprints.maths.ox.ac.uk:728

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