Geometric Asian Options Valuation in Stochastic Volatility Models with Jumps

Martedi' 25 Ottobre 2011 - Carlo Sgarra


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".

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