Title: Pricing of Asian options in the rough Bergomi model
Language: English
Authors: Tomas, Anto 
Qualification level: Diploma
Advisor: Gerhold, Stefan 
Issue Date: 2018
Number of Pages: 48
Qualification level: Diploma
The goal of this thesis is to study the functional central limit theorems, especially the extension of Donskers approximation of Brownian motion the so-called rough Donsker (rDonsker) theorem, which helps us approximate the fractional Brownian motion essential for further implementations of rough volatility models. Furthermore, based on the results of those convergence theorems, the numerical implementation of rough Donsker volatility model is presented and its results are discussed.
Keywords: rough volatility; Monte Carlo; rough Bergomi model; Asian option
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-116114
Library ID: AC15181015
Organisation: E105 - Institut für Stochastik und Wirtschaftsmathematik 
Publication Type: Thesis
Appears in Collections:Thesis

Files in this item:

Page view(s)

checked on Jul 17, 2021


checked on Jul 17, 2021

Google ScholarTM


Items in reposiTUm are protected by copyright, with all rights reserved, unless otherwise indicated.