<div class="csl-bib-body">
<div class="csl-entry">Bernkopf, M. (2016). <i>Analysis of the alpha-hypergeometric stochastic volatility model</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2016.35347</div>
</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2016.35347
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/2322
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dc.description.abstract
We investigate the alpha-hypergeometric stochastic volatility model. We present results including the martingale property of the forward and calculate certain transforms of the forward as well as the volatility itself, which enable us to perform plain vanilla pricing and pricing of volatility derivatives. Furthermore we derive certain large deviation problems associated with the alpha-hypergeometric stochastic volatility model as well as other asymptotics.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Optionsbewertung
de
dc.subject
stochastische Volatilität
de
dc.subject
große Abweichungen
de
dc.subject
hypergeometrische Funktion
de
dc.subject
Option Pricing
en
dc.subject
stochastic volatility
en
dc.subject
large deviations
en
dc.subject
hypergeometric function
en
dc.title
Analysis of the alpha-hypergeometric stochastic volatility model
en
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2016.35347
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Maximilian Bernkopf
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik
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dc.type.qualificationlevel
Diploma
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dc.identifier.libraryid
AC13222119
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dc.description.numberOfPages
58
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dc.identifier.urn
urn:nbn:at:at-ubtuw:1-3029
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dc.thesistype
Diplomarbeit
de
dc.thesistype
Diploma Thesis
en
dc.rights.identifier
In Copyright
en
dc.rights.identifier
Urheberrechtsschutz
de
tuw.advisor.staffStatus
staff
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tuw.advisor.orcid
0000-0002-4172-3956
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item.fulltext
with Fulltext
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item.cerifentitytype
Publications
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item.mimetype
application/pdf
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item.openairecristype
http://purl.org/coar/resource_type/c_bdcc
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item.languageiso639-1
en
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item.openaccessfulltext
Open Access
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item.openairetype
master thesis
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item.grantfulltext
open
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crisitem.author.dept
E101-02 - Forschungsbereich Numerik
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crisitem.author.parentorg
E101 - Institut für Analysis und Scientific Computing