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Title
Analysis of the alpha-hypergeometric stochastic volatility model / von Maximilian Bernkopf
AuthorBernkopf, Maximilian
CensorGerhold, Stefan
PublishedWien, 2016
Description58 Blätter : Diagramme
Institutional NoteTechnische Universität Wien, Diplomarbeit, 2016
LanguageEnglish
Document typeThesis (Diplom)
Keywords (DE)Optionsbewertung / stochastische Volatilität / große Abweichungen / hypergeometrische Funktion
Keywords (EN)Option Pricing / stochastic volatility / large deviations / hypergeometric function
URNurn:nbn:at:at-ubtuw:1-3029 Persistent Identifier (URN)
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 The work is publicly available
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Abstract (English)

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.