<div class="csl-bib-body">
<div class="csl-entry">Tomas, A. (2018). <i>Pricing of Asian options in the rough Bergomi model</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2018.56640</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2018.56640
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/5478
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dc.description.abstract
The goal of this thesis is to study the functional central limit theorems, especially the extension of Donskers approximation of Brownian motion the so-called rough Donsker (rDonsker) theorem, which helps us approximate the fractional Brownian motion essential for further implementations of rough volatility models. Furthermore, based on the results of those convergence theorems, the numerical implementation of rough Donsker volatility model is presented and its results are discussed.
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
rough volatility
en
dc.subject
Monte Carlo
en
dc.subject
rough Bergomi model
en
dc.subject
Asian option
en
dc.title
Pricing of Asian options in the rough Bergomi 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.2018.56640
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Anto Tomas
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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