Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models

By:

Glanzer Martin

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Paperback / softback

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Description

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.

Release date NZ

July 10th, 2015

Author

Glanzer Martin

Audience

General (US: Trade)

Pages

112

Dimensions

152x229x7

ISBN-13

9783639853476

Product ID

23872500

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Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models

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