Pricing of Geometric Asian Options in the Volterra-Heston Model
By Florian Aichinger, Sascha Desmettre
Rating
1466
Battle Count: 73
Relevance
8/10
Highly relevant for pricing and risk management of Asian options, especially in markets exhibiting rough volatility characteristics
Implementation Complexity
7/10
Requires implementation of Volterra-Riccati equations and numerical integration techniques
Reproducibility
4/5
The paper provides detailed mathematical derivations and formulas, enabling reproduction of results. Numerical implementation details are also given.
About this paper
Methodology: Fourier inversion method. Problem types: Option Pricing, Time Series Modeling.
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