Thesis
The computation of Greeks with multilevel Monte Carlo
- Abstract:
-
In mathematical finance, the sensitivities of option prices to various market parameters, also known as the “Greeks”, reflect the exposure to different sources of risk. Computing these is essential to predict the impact of market moves on portfolios and to hedge them adequately. This is commonly done using Monte Carlo simulations. However, obtaining accurate estimates of the Greeks can be computationally costly.
Multilevel Monte Carlo offers complexity improvements over standard Mon...
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Funding
Bibliographic Details
- Publication date:
- 2014
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- Oxford University, UK
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd
- Local pid:
- ora:9152
- Deposit date:
- 2014-10-21
Terms of use
- Copyright holder:
- Burgos, S
- Copyright date:
- 2014
- Notes:
- This thesis is not currently available in ORA.
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