Pricing of geometric Asian options in general affine stochastic volatility models

Author

Johannes Ruppert

Abstract

"In this thesis, we look at the general affine pricing model introduced in [11]. 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 [11] to multi-factor models"--Abstract, page iii.

Advisor(s)

Bohner, Martin, 1966-

Committee Member(s)

Gelles, Gregory M.
Insall, Matt

Department(s)

Mathematics and Statistics

Degree Name

M.S. in Applied Mathematics

Publisher

Missouri University of Science and Technology

Publication Date

Spring 2016

Pagination

vii, 76 pages

Note about bibliography

Includes bibliographical references (pages 74-75).

Rights

© 2016 Johannes Ruppert, All rights reserved.

Document Type

Thesis - Open Access

File Type

text

Language

English

Thesis Number

T 11362

Electronic OCLC #

1041856535

Recommended Citation

Ruppert, Johannes, "Pricing of geometric Asian options in general affine stochastic volatility models" (2016). Masters Theses. 7746.
https://scholarsmine.mst.edu/masters_theses/7746