Tomas, A. (2018). Pricing of Asian options in the rough Bergomi model [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2018.56640
E105 - Institut für Stochastik und Wirtschaftsmathematik
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Date (published):
2018
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Number of Pages:
48
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Keywords:
rough volatility; Monte Carlo; rough Bergomi model; Asian option
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Abstract:
The goal of this thesis is to study the functional central limit theorems, especially the extension of Donskers approximation of Brownian motion the so-called rough Donsker (rDonsker) theorem, which helps us approximate the fractional Brownian motion essential for further implementations of rough volatility models. Furthermore, based on the results of those convergence theorems, the numerical implementation of rough Donsker volatility model is presented and its results are discussed.