Pricing with Bivariate Unspanned Stochastic Volatility Models
Unspanned stochastic volatility (USV) models have gained popularity in the literature. USV models contain at least one source of volatility-related risk that cannot be hedged with bonds, referred to as the unspanned volatility factor(s). Bivariate USV models are the simplest case, comprising of one...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2020
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| Online Access: | http://hdl.handle.net/11427/31323 |