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Computing the Greeks using the integration by parts formula for the Skorohod integral

Thesis (MSc (Mathematics))--Stellenbosch University, 2008.

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Main Author: Chongo, Ambrose
Other Authors: Roux, Alet
Format: Thesis
Language:English
Published: Stellenbosch : Stellenbosch University 2008
Subjects:
Options pricing
Greeks
Skorohod integral
Dissertations > Mathematics
Theses > Mathematics
Options (Finance) > Prices > Mathematics
Malliavin calculus
Financial risk management > Mathematics
Financial mathematics
Integration by parts formula
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Summary:Thesis (MSc (Mathematics))--Stellenbosch University, 2008.

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