Bernkopf, M. (2016). Analysis of the alpha-hypergeometric stochastic volatility model [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2016.35347
E105 - Institut für Stochastik und Wirtschaftsmathematik
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Date (published):
2016
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Number of Pages:
58
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Keywords:
Optionsbewertung; stochastische Volatilität; große Abweichungen; hypergeometrische Funktion
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Option Pricing; stochastic volatility; large deviations; hypergeometric function
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Abstract:
We investigate the alpha-hypergeometric stochastic volatility model. We present results including the martingale property of the forward and calculate certain transforms of the forward as well as the volatility itself, which enable us to perform plain vanilla pricing and pricing of volatility derivatives. Furthermore we derive certain large deviation problems associated with the alpha-hypergeometric stochastic volatility model as well as other asymptotics.
