Seminarium online QFRG i DSLab „Effective Local Volatility Model – with Application to Pricing American Basket Options” [13.12.2021]

Serdecznie zapraszamy do wzięcia udziału w kolejnym seminarium, organizowanym przez QFRG i DSLab.

Podczas spotkania dr hab. Juliusz Jabłecki z Katedry Finansów Ilościowych WNE UW zaprezentuje wyniki badania „Effective Local Volatility Model – with Application to Pricing American Basket Options”.

Seminarium odbędzie się 13 grudnia 2021 r. od godz. 15:00 za pośrednictwem platformy Google Meet.

Link do spotkania: https://meet.google.com/gnr-gfbh-fxc

Zachęcamy do zapoznania się z abstraktem prezentacji:

The Authors propose the Effective Local Volatility (ELV) model to price American-style exotic options on a high-dimensional basket of stocks. The model is based on mapping the basket of assets onto a collection of marginal distributions which play the role of “effective parameters”. This collection of marginal distributions can be uniquely associated with option prices (implied volatilities), and hence also an entire local volatility surface which can eventually be used to accurately price complex, exotic derivatives in what is effectively a one-dimensional model. While such an effective local volatility approach preserves only one-dimensional distributions of the high-dimensional basket, it nonetheless produces prices of path-dependent American-style options that match very closely those obtained from a fully-fledged high-dimensional model, with considerably lower computational time and effort. The findings are illustrated with a series of numerical experiments based on both Black-Scholes log-normal and Heston-type stochastic volatility diffusions for basket constituent assets. Error analysis, timing results and implementation details are also given.