PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS
Master's
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| Format: | Theses and Dissertations |
| Language: | English |
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2023
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| Online Access: | https://scholarbank.nus.edu.sg/handle/10635/246581 |
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sg-nus-scholar.10635-2465812024-04-03T00:26:00Z PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS MEUNIER MATTHIEU RAPHAEL STATISTICS AND DATA SCIENCE Somabha Mukherjee Chao Zhou Rough volatility, Foreign exchange, fractional Brownian motion, volatility modelling, option pricing, volatility smile Master's MASTER OF SCIENCE (RSH-FOS) 2023-12-31T18:00:40Z 2023-12-31T18:00:40Z 2023-08-18 Thesis MEUNIER MATTHIEU RAPHAEL (2023-08-18). PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS. ScholarBank@NUS Repository. https://scholarbank.nus.edu.sg/handle/10635/246581 0000-0002-8776-1106 en |
| institution |
National University of Singapore |
| building |
NUS Library |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
NUS Library |
| collection |
ScholarBank@NUS |
| language |
English |
| topic |
Rough volatility, Foreign exchange, fractional Brownian motion, volatility modelling, option pricing, volatility smile |
| spellingShingle |
Rough volatility, Foreign exchange, fractional Brownian motion, volatility modelling, option pricing, volatility smile MEUNIER MATTHIEU RAPHAEL PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS |
| description |
Master's |
| author2 |
STATISTICS AND DATA SCIENCE |
| author_facet |
STATISTICS AND DATA SCIENCE MEUNIER MATTHIEU RAPHAEL |
| format |
Theses and Dissertations |
| author |
MEUNIER MATTHIEU RAPHAEL |
| author_sort |
MEUNIER MATTHIEU RAPHAEL |
| title |
PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS |
| title_short |
PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS |
| title_full |
PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS |
| title_fullStr |
PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS |
| title_full_unstemmed |
PRICING FOREIGN EXCHANGE OPTIONS IN ROUGH VOLATILITY MODELS |
| title_sort |
pricing foreign exchange options in rough volatility models |
| publishDate |
2023 |
| url |
https://scholarbank.nus.edu.sg/handle/10635/246581 |
| _version_ |
1795302043931377664 |