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https://hdl.handle.net/2445/181575Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Vives i Santa Eulàlia, Josep, 1963- | - |
| dc.contributor.author | Puigtió Bernaus, Irene | - |
| dc.date.accessioned | 2021-12-01T07:50:37Z | - |
| dc.date.available | 2021-12-01T07:50:37Z | - |
| dc.date.issued | 2021-01-24 | - |
| dc.identifier.uri | https://hdl.handle.net/2445/181575 | - |
| dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2021, Director: Josep Vives i Santa Eulàlia, | ca |
| dc.description.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. | ca |
| dc.format.extent | 65 p. | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | cat | ca |
| dc.rights | cc-by-nc-nd (c) Irene Puigtió Bernaus, 2021 | - |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
| dc.source | Treballs Finals de Grau (TFG) - Matemàtiques | - |
| dc.subject.classification | Càlcul de Malliavin | ca |
| dc.subject.classification | Treballs de fi de grau | - |
| dc.subject.classification | Anàlisi estocàstica | ca |
| dc.subject.classification | Economia matemàtica | ca |
| dc.subject.classification | Mètode de Montecarlo | ca |
| dc.subject.other | Malliavin calculus | en |
| dc.subject.other | Bachelor's theses | - |
| dc.subject.other | Stochastic analysis | en |
| dc.subject.other | Mathematical economics | en |
| dc.subject.other | Monte Carlo method | en |
| dc.title | Càclul de les Gregues pel model Black-Scholes utilitzant el càlcul de Malliavin | ca |
| dc.type | info:eu-repo/semantics/bachelorThesis | ca |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
| 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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