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Efficient Recursion-Quadrature Algorithms for Pricing Asian Options and Variance Derivatives under Stochastic Volatility

  • 演讲者:张伟楠(南科大)

  • 时间:2023-12-15 13:00-14:00

  • 地点:理学院大楼M616

Abstract:  We propose efficient algorithms for pricing Asian options and variance derivatives, which utilize the recursion of characteristic functions, quadrature over the variance/activity rate dimension, and frame projection method of approximating the density function of the log-asset price.