Perturbation methods in derivatives pricing under stochastic volatility

Perturbation methods in derivatives pricing under stochastic volatility

Thesis (MSc)--Stellenbosch University, 2012. === ENGLISH ABSTRACT: This work employs perturbation techniques to price and hedge financial derivatives in a stochastic volatility framework. Fouque et al. [44] model volatility as a function of two processes operating on different time-scales. One pro...

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Bibliographic Details
Main Author: Kateregga, Michael
Other Authors: Ghomrasni, R.
Format: Others
Language:en_ZA
Published: Stellenbosch : Stellenbosch University 2012
Subjects:
Perturbation (Mathematics)
Derivative securities > Pricing
Stochastic volatility
Ergodic Markov process
Lipschitz stochastic differential equation
Dissertations > Mathematics
Theses > Mathematics
Online Access:http://hdl.handle.net/10019.1/71708

Internet

http://hdl.handle.net/10019.1/71708

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