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Graduate Student Colloquium

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

Speaker: Weinan Zhang (SUSTech)
Time: Dec 15, 2023, 13:00-14:00
Location: M616, College of Science Bldg.

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.

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