Sökning: "Clark-Ocone formula"

Hittade 1 avhandling innehållade orden Clark-Ocone formula.

1. 1. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

   Författare :Hans-Peter Bermin; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Girsanov transformations.; lookback options; Contingent claims; barrier options; hedging; pricing; arbitrage; complete markets; self-financing portfolios; Black-Scholes formula; Clark-Ocone formula; Malliavin calculus; Financial science; Finansiering;

   Sammanfattning : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. LÄS MER