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A transform-based method for pricing Asian options under general two-dimensional models

  • Speaker: Weinan Zhang (SUSTech)

  • Time: Dec 15, 2023, 12:00-13:00

  • Location: M616, College of Science Bldg.

Abstract:  We propose a unified transform-based method, which we call the extended double spiral (EDS) method, for pricing arithmetic Asian options under general two-dimensional (2D) models that nest regime-switching Levy models, stochastic volatility (SV) models with Levy jumps, and time-changed Levy models.

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