Vives i Santa Eulàlia, Josep, 1963-Puigtió Bernaus, Irene2021-12-012021-12-012021-01-24https://hdl.handle.net/2445/181575Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2021, Director: Josep Vives i Santa Eulàlia,[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.65 p.application/pdfcatcc-by-nc-nd (c) Irene Puigtió Bernaus, 2021http://creativecommons.org/licenses/by-nc-nd/3.0/es/Càlcul de MalliavinTreballs de fi de grauAnàlisi estocàsticaEconomia matemàticaMètode de MontecarloMalliavin calculusBachelor's thesesStochastic analysisMathematical economicsMonte Carlo methodinfo:eu-repo/semantics/bachelorThesisinfo:eu-repo/semantics/openAccess