Alta reperibilità
Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models
Ornstein-Uhlenbeck type stochastic volatility models driven by matrix subordinators
- Editore:
AV Akademikerverlag
- EAN:
9783639853476
- ISBN:
3639853474
- Pagine:
- 112
- Formato:
- Paperback
- Lingua:
- Tedesco
Acquistabile con
o la
Descrizione Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models
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 Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.
o 3 rate da € 18.90 senza interessi con 
Disponibile in 10-12 giorni
Prenota e ritira
Scegli il punto di consegna e ritira quando vuoiRecensioni degli utenti
e condividi la tua opinione con gli altri utenti
