Monte Carlo Methods for Derivative Pricing of Stochastic Volatility Models Driven by Fractional Brownian Motion

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atmire.migration.oldid1033
dc.contributor.advisorSwishchuk, Anatoliy
dc.contributor.authorDevauld, Wesley
dc.date.accessioned2013-05-30T17:25:40Z
dc.date.available2013-11-12T08:00:12Z
dc.date.issued2013-05-30
dc.date.submitted2013en
dc.description.abstractWe model asset prices with stochastic volatilities driven by fractional Brownian motion. Price paths and their endpoints are used to obtain a Monte Carlo value estimate of vanilla european options, lookback options as well as variance swaps. Underlying models for price movements are driven by stochastic volatility models driven by fractional Brownian motion with H > 1/2 . These models exhibit a strong autocorrelation in volatility evolution. The models considered are fractional Ornstein Uhlenbeck, fractional Cox-Ingersoll-Ross, fractional Continuous GARCH(1,1) and fractional Heston.en_US
dc.identifier.citationDevauld, W. (2013). Monte Carlo Methods for Derivative Pricing of Stochastic Volatility Models Driven by Fractional Brownian Motion (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/27003en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/27003
dc.identifier.urihttp://hdl.handle.net/11023/745
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectMathematics
dc.subjectMathematics
dc.subject.classificationStochastic Volatilityen_US
dc.subject.classificationMonte Carloen_US
dc.subject.classificationEuropean Optionsen_US
dc.subject.classificationLookback Optionsen_US
dc.subject.classificationVariance Swapsen_US
dc.subject.classificationfractional Brownian Motionen_US
dc.subject.classificationStochastic Varianceen_US
dc.titleMonte Carlo Methods for Derivative Pricing of Stochastic Volatility Models Driven by Fractional Brownian Motion
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
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