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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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| Format: | Thesis |
| Language: | English |
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Stellenbosch : Stellenbosch University
2008
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| _version_ | 1867613986662383616 |
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| access_status_str | Open Access |
| author | Chongo, Ambrose |
| author2 | Roux, Alet |
| author_browse | Chongo, Ambrose Roux, Alet |
| author_facet | Roux, Alet Chongo, Ambrose |
| author_sort | Chongo, Ambrose |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (MSc (Mathematics))--Stellenbosch University, 2008. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/2607 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:44:52.037Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2008 |
| publishDateRange | 2008 |
| publishDateSort | 2008 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/2607 Computing the Greeks using the integration by parts formula for the Skorohod integral Chongo, Ambrose Roux, Alet Stellenbosch University. Faculty of Science. Dept. of Mathematical Sciences. 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 Malliavin calculus 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. 2008-06-12T07:40:46Z 2010-06-01T08:53:30Z 2008-06-12T07:40:46Z 2010-06-01T08:53:30Z 2008-03 Thesis http://hdl.handle.net/10019.1/2607 en Stellenbosch University application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | 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 Malliavin calculus Chongo, Ambrose Computing the Greeks using the integration by parts formula for the Skorohod integral |
| title | Computing the Greeks using the integration by parts formula for the Skorohod integral |
| title_full | Computing the Greeks using the integration by parts formula for the Skorohod integral |
| title_fullStr | Computing the Greeks using the integration by parts formula for the Skorohod integral |
| title_full_unstemmed | Computing the Greeks using the integration by parts formula for the Skorohod integral |
| title_short | Computing the Greeks using the integration by parts formula for the Skorohod integral |
| title_sort | computing the greeks using the integration by parts formula for the skorohod integral |
| topic | 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 Malliavin calculus |
| url | http://hdl.handle.net/10019.1/2607 |
| work_keys_str_mv | AT chongoambrose computingthegreeksusingtheintegrationbypartsformulafortheskorohodintegral |