Vetenskap & teknik
Pocket
Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models
Glanzer Martin
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This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Lvy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.
- Format: Pocket/Paperback
- ISBN: 9783639853476
- Språk: Engelska
- Antal sidor: 112
- Utgivningsdatum: 2015-07-10
- Förlag: AV Akademikerverlag