Malliavin calculus and its applications to mathematical finance
Thesis (M.Sc. (Applied Mathematics)) -- University of Limpopo, 2020 === In this study,we consider two problems.The first one is the problem of computing hedging portfolios for options that may have discontinuous payoff functions.For this problem we use the Malliavin property called the Clark-Ocone...
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Format: | Others |
Language: | en |
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2021
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Online Access: | http://hdl.handle.net/10386/3432 |