Pricing and Hedging of Discretely Monitored Asian Options in the Volterra–Heston Model

By Gijs Custers, Martin Friesen, Sven Karbach

Published 2026-09-07

Everscope rating

1706

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

5 / 5

About this paper

Methodology: Affine Volterra Fourier-Laplace Transform with Riccati-Volterra Equations. Problem types: Pricing, Hedging, Risk Management, Portfolio Optimization, Optimization.

arXiv:2609.07169 · Paper rankings

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