• Economics
  • Published 1998

Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

@inproceedings{Bermin1998EssaysOL,
  title={Essays on Lookback and Barrier Options - A Malliavin Calculus Approach},
  author={Hans-Peter Bermin},
  year={1998}
}
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. In the first essay the tractability of the Malliavin calculus approach to derive the replicating portfolio of a contingent claim is examined. Here we specifically study lookback and partial… CONTINUE READING