Xiao, Li2007-05-082007-05-0820062006http://hdl.handle.net/10012/2931This thesis applies a Partial Integral Differential Equation model, along with a Monte Carlo approach to quantitatively analyze the no arbitrage value of hedge fund performance fees. From a no-arbitrage point of view, the investor in a hedge fund is providing a free option to the manager of the hedge fund. The no-arbitrage value of this option can be locked in by the hedge fund manager using a simple hedging strategy. Interpolation methods, grid construction techniques and parallel computation techniques are discussed to improve the performance of the numerical methods for valuing this option.application/pdf418905 bytesapplication/pdfenCopyright: 2006, Xiao, Li. All rights reserved.Computer ScienceHedge fundperformance feeparallel computationPIDEMaster Thesis