Malliavin Differentiability of the Generalized Heston Model and its Application to Computation of Greeks
| dc.contributor.advisor | 田村, 要造 / 教授 | |
| dc.contributor.author | TSUMURAI, SHOTA / 津村井, 捷太 | |
| dc.date.accessioned | 2017-01-06T02:10:10Z | |
| dc.date.available | 2017-01-06T02:10:10Z | |
| dc.date.issued | 2016-09-21 | |
| dc.description | 修士（理学）, 2016, 基礎理工学専攻 | |
| dc.identifier.uri | /sigma_local/handle/10721/9549 | |
| dc.publisher | 慶應義塾大学理工学研究科 | |
| dc.subject | マリアバン解析 | ja |
| dc.subject | ヘストンモデル(Heston) | ja |
| dc.subject | グリークス(Greeks) | ja |
| dc.subject | Malliavin calculus | en |
| dc.subject | Heston model | en |
| dc.subject | Greeks | en |
| dc.title | Malliavin Differentiability of the Generalized Heston Model and its Application to Computation of Greeks | |
| dc.title.alternative | Malliavin Differentiability of the Generalized Heston Model and its Application to Computation of Greeks | |
| dc.type | 学位論文 |