Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models

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 Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.