Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics
Contribuinte(s) |
Pascucci, Andrea |
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Data(s) |
24/10/2014
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Resumo |
In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000). |
Formato |
application/pdf |
Identificador |
http://amslaurea.unibo.it/7723/1/buccioli_alice_tesi.pdf Buccioli, Alice (2014) Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics. [Laurea magistrale], Università di Bologna, Corso di Studio in Matematica [LM-DM270] <http://amslaurea.unibo.it/view/cds/CDS8208/> |
Relação |
http://amslaurea.unibo.it/7723/ |
Direitos |
info:eu-repo/semantics/openAccess |
Palavras-Chave | #option pricing VIX Laguerre expansion jump-diffusion #scuola :: 843899 :: Scienze #cds :: 8208 :: Matematica [LM-DM270] #indirizzo :: 955 :: Curriculum A: Generale e applicativo #sessione :: seconda |
Tipo |
PeerReviewed |