"In this thesis, we look at the general affine pricing model introduced in . This model allows to price geometric Asian options, which are of big interest due to their lower volatility in comparison to, for example, European options. Because of their structure and in order to be able to price these options, we look at the basic theory of Lévy processes and stochastic calculus. Furthermore, we provide the detailed description of the parameters of the pricing formulas for some popular specific single-factor stochastic volatility models with jumps and generalize the approach of  to multi-factor models"--Abstract, page iii.
Bohner, Martin, 1966-
Gelles, Gregory M.
Mathematics and Statistics
M.S. in Applied Mathematics
Missouri University of Science and Technology
vii, 76 pages
© 2016 Johannes Ruppert, All rights reserved.
Thesis - Open Access
Electronic OCLC #
Ruppert, Johannes, "Pricing of geometric Asian options in general affine stochastic volatility models" (2016). Masters Theses. 7746.