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q-fin.PR2022
Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model
Yuecai Han, Xudong Zheng
We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We obtain an approximate expression of the derivative price where the stochastic v…
q-fin.PR2018
Asian Option Pricing under Uncertain Volatility Model
Yuecai Han, Chunyang Liu
In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian…