Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models. Ornstein-Uhlenbeck type stochastic volatility models driven by matrix subordinators

      Аннотация: This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued L?vy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.

Ключевые слова: FFT, Financial Mathematics, mathematical finance, option pricing, Spread options, Ornstein-Uhlenbeck, fast Fourier-Transform, Matrix-Subordinator