thesis_submit.pdf (713.65 kB)
Download file

Closed-form approximations for option prices in stochastic volatility models via the mixing solution

Download (713.65 kB)
posted on 03.12.2019, 06:57 by KAUSTAV DAS
We consider the classical European option pricing problem in a general stochastic volatility framework with time-dependent parameters. It is possible to express the price of a European option as the expectation of a functional of the integrated variance process. In particular, this functional itself is similar to that of a Black-Scholes formula, which possesses many well studied properties. From there, it is possible to utilise expansion techniques to approximate the option price in a closed-form manner. We achieve this using two different types of approaches, one contingent on change of measure techniques, the other on Malliavin calculus machinery.


Campus location


Principal supervisor

Fima Klebaner

Additional supervisor 1

Kais Hamza

Additional supervisor 2

Nicolas Langrene

Additional supervisor 3

Oscar Tian

Year of Award


Department, School or Centre


Additional supervisor 4

Zili Zhu


Doctor of Philosophy

Degree Type