Thesis (MSc (Mathematics))--Stellenbosch University, 2008. / The computation of the greeks of an option is an important aspect of financial
mathematics. The information gained from knowing the value of a greek of
an option can help investors decide whether or not to hold on to or to sell
their options to avoid losses or gain a profit.
However, there are technical difficulties that arise from having to do this.
Among them is the fact that the mathematical formula for the value some
options is complex in nature and evaluating their greeks may be cumber-
some. On the other hand the greek might have to be numerically estimated
if the option does not posses an explicit evaluation formula. This could be a
computationally expensive undertaking.
Malliavin calculus offers us a solution to these problems. We can find
formula that can be used in combination with Monte Carlo simulations to
give results quickly and which are not computationally expensive to obtain
and hence give us an degree of accuracy higher that non Malliavin calculus
techniques.
This thesis will develop the Malliavin calculus tools that will enable us
to develop the tools which we will then use to compute the greeks of some
known options.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/2607 |
| Date | 03 1900 |
| Creators | Chongo, Ambrose |
| Contributors | Roux, Alet, Stellenbosch University. Faculty of Science. Dept. of Mathematical Sciences. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Rights | Stellenbosch University |
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