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http://hdl.handle.net/10609/56287
Title: | Malliavin calculus applied to option pricing theory |
Author: | Lagunas Merino, Marc |
Tutor: | Vives Santa Eulalia, Josep |
Others: | Universitat Oberta de Catalunya Rodriguez Velazquez, Juan Alberto |
Abstract: | The work presented is framed within the theory of stochastic processes applied to the valuation of European options. The aim of the document is to present a new analytical formula for writing the density function of the underlying asset of the derivative in terms of the known function Black-Scholes plus an adjustment term that is determined by the correlation and volatility dependent model stochastic volatility chosen. |
Keywords: | malliavin calculus stochastic process option pricing mathematical models |
Document type: | info:eu-repo/semantics/other |
Issue Date: | 7-Jul-2016 |
Publication license: | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Appears in Collections: | Bachelor thesis, research projects, etc. |
Files in This Item:
File | Description | Size | Format | |
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TFM_video.m4v | Defensa TFM - Ingeniería Computacional y Matemática | 85,3 MB | MP4 | View/Open |
mlagunmeTFM0616memoria.pdf | Memoria del TFM | 398,74 kB | Adobe PDF | View/Open |
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