Thesis
Pricing exotic options using improved strong convergence
- Abstract:
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Today, better numerical approximations are required for multi-dimensional SDEs to improve on the poor performance of the standard Monte Carlo integration. With this aim in mind, the material in the thesis is divided into two main categories, stochastic calculus and mathematical finance. In the former, we introduce a new scheme or discrete time approximation based on an idea of Paul Malliavin where, for some conditions, a better strong convergence order is obtained than the standard Milstein s...
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Authors
Contributors
+ Shaw, W
Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
+ Giles, M
Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
Funding
Bibliographic Details
- Publication date:
- 2008
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
Item Description
- Language:
- English
- Subjects:
- UUID:
-
uuid:5a9fb837-238f-46a7-976a-fe3bae0e7b09
- Local pid:
- ora:2076
- Deposit date:
- 2008-06-13
Terms of use
- Copyright holder:
- Schmitz Abe, K
- Copyright date:
- 2008
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