An application of Malliavin calculus to hedging exotic barrier options
The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for Barrier style derived securities. The thesis gives an elementary treatment of this calculus which should be accessible to the non-specialist. The thesis deals also with extensions of the calculus to...
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Imperial College London
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537198 |