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Geometric Asian Options Valuation in Stochastic Volatility Models with Jumps

Martedi' 25 Ottobre 2011 - Carlo Sgarra

ARGOMENTI: Seminari

SEMINARI DI CALCOLO DELLE PROBABILITA'
Martedi' 25 ottobre 2011 alle ore 11:00, nella sala Riunioni VII piano della Torre Archimede, Carlo Sgarra (Politecnico di Milano) terra' il seminario dal titolo "Geometric Asian Options Valuation in Stochastic Volatility Models with Jumps".

-Abstract
In the present talk we are going to present some semi-explicit formulas providing the no-arbitrage prices of Asian Options (based on the Geometric mean and on a continuous time monitoring) in the framework of a very popular Stochastic Volatility Model where also jumps are present, i.e. the model introduced by O.E. Barndorff-Nielsen and N. Shephard in 2001. Some numerical illustrations of these formulas will be provided in the special case in which the invariant distribution of the Ornstein-Uhlenbeck process driven by the subordinator is of the Inverse Gaussian type. This talk will be based on a joint work with Friedrich Hubalek of the Vienna Technical University.

Rif. int. T. Vargiolu

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