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Valuation of derivative securities using stochastic analytic and numerical methods

Heath, David


This thesis details methods and procedures to compute prices and hedging strategies for derivative securities in financial mathematics using stochastic analytic, numerical and variance reduction techniques. Results are obtained on explicit hedge ratio representations for non-smooth payoff functionals and mult idimensional diffusion processes with stopping boundaries. These methods are used to determine hedge ratios for the maximum of several assets and lookback options. A number of...[Show more]

CollectionsOpen Access Theses
Date published: 1995
Type: Thesis (PhD)
DOI: 10.25911/5d74e1063b30d


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