Pricing of Geometric Asian Options in the Volterra-Heston Model

By Florian Aichinger, Sascha Desmettre

Published 2024-07-06

Everscope rating

1479.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Fourier inversion method. Problem types: Option Pricing, Time Series Modeling.

arXiv:2402.15828 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.