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Title
Pricing of Asian options in the rough Bergomi model / von Anto Tomas
AuthorTomas, Anto
CensorGerhold, Stefan
PublishedWien, 2018
Description48 Blätter : Diagramme
Institutional NoteTechnische Universität Wien, Diplomarbeit, 2018
LanguageEnglish
Document typeThesis (Diplom)
Keywords (EN)rough volatility / Monte Carlo / rough Bergomi model / Asian option
URNurn:nbn:at:at-ubtuw:1-116114 Persistent Identifier (URN)
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 The work is publicly available
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Pricing of Asian options in the rough Bergomi model [0.71 mb]
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Abstract (English)

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.

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