<div class="csl-bib-body">
<div class="csl-entry">Götz, S. (2020). <i>Pricing of simple and path-dependent European options in the Jacobi stochastic volatility model</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2020.63242</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2020.63242
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/15151
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dc.description
Abweichender Titel nach Übersetzung der Verfasserin/des Verfassers
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dc.description.abstract
We discuss a stochastic volatility model in which the squared volatility is modeled as anaffine transformed Jacobi process. In this model, which contains the Heston model as limiting case, the log-price density as well as the density of the finite dimensional distributionsof the log-returns admit a closed-form series representation with respect to the generalizedHermite polynomials, known as Gram-Charlier series expansion. We use this to deriveseries representations for option prices and we find explicit formulas for European call,put and binary options. The pricing technique is expanded to path-dependent Europeanoptions whose payoff functions depend on finitely many monitoring dates. Approximationerrors, which occur by truncation of the series at some finite order, are also studied andillustrated by some numerical examples.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Stochastische Volatilität
de
dc.subject
Jacobi-Prozess
de
dc.subject
Polynomiale Diffusion
de
dc.subject
Optionsbewertung
de
dc.subject
Stochastic volatility
en
dc.subject
Jacobi Process
en
dc.subject
Polynomial Diffusion
en
dc.subject
Option pricing
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dc.title
Pricing of simple and path-dependent European options in the Jacobi stochastic volatility model
en
dc.title.alternative
Bewertung von einfachen und pfadabhängigen Optionen im Jacobi-Stochastische-Volatilitäts-Modell
de
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2020.63242
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Simone Götz
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik