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https://hdl.handle.net/2445/181575| Title: | Càclul de les Gregues pel model Black-Scholes utilitzant el càlcul de Malliavin |
| Author: | Puigtió Bernaus, Irene |
| Director/Tutor: | Vives i Santa Eulàlia, Josep, 1963- |
| Keywords: | Càlcul de Malliavin Treballs de fi de grau Anàlisi estocàstica Economia matemàtica Mètode de Montecarlo Malliavin calculus Bachelor's theses Stochastic analysis Mathematical economics Monte Carlo method |
| Issue Date: | 24-Jan-2021 |
| Abstract: | [en] We study in this work the application of the Malliavin calculus for Greeks computation in the case of European options in the Black-Scholes model. Then we apply the formulas obtained in Monte Carlo simulation and we compare the results to the closed form Greeks. Finally, we introduce some considerations about the developed method. |
| Note: | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2021, Director: Josep Vives i Santa Eulàlia, |
| URI: | https://hdl.handle.net/2445/181575 |
| Appears in Collections: | Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| tfg_irene_puigtio_bernaus.pdf | Memòria | 2.01 MB | Adobe PDF | View/Open |
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