{"id":"https://openalex.org/W7212015493","doi":"https://doi.org/10.48550/arxiv.2609.07169","title":"Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model","display_name":"Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model","publication_year":2026,"publication_date":"2026-09-07","ids":{"openalex":"https://openalex.org/W7212015493","doi":"https://doi.org/10.48550/arxiv.2609.07169"},"language":"en","primary_location":{"id":"pmh:oai:arXiv.org:2609.07169","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2609.07169","pdf_url":"https://arxiv.org/pdf/2609.07169","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2609.07169","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5009592221","display_name":"Gijs Custers","orcid":"https://orcid.org/0000-0002-2716-3104","observed_orcids":["https://orcid.org/0000-0002-2716-3104"]},"institutions":[{"id":"https://openalex.org/I66862912","display_name":"Chalmers University of Technology","ror":"https://ror.org/040wg7k59","country_code":"SE","type":"education","lineage":["https://openalex.org/I66862912"]},{"id":"https://openalex.org/I881427289","display_name":"University of Gothenburg","ror":"https://ror.org/01tm6cn81","country_code":"SE","type":"education","lineage":["https://openalex.org/I881427289"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Custers, Gijs","raw_affiliation_strings":["Department of Mathematical Sciences , Chalmers University of Technology and University of Gothenburg , SE-412 96 Gothenburg , Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences , Chalmers University of Technology and University of Gothenburg , SE-412 96 Gothenburg , Sweden","institution_ids":["https://openalex.org/I66862912","https://openalex.org/I881427289"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079357749","display_name":"Sven Karbach","orcid":"https://orcid.org/0000-0002-9262-9871","observed_orcids":["https://orcid.org/0000-0002-9262-9871"]},"institutions":[{"id":"https://openalex.org/I887064364","display_name":"University of Amsterdam","ror":"https://ror.org/04dkp9463","country_code":"NL","type":"education","lineage":["https://openalex.org/I887064364"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Karbach, Sven","raw_affiliation_strings":["Korteweg-de Vries Institute for Mathematics , University of Amsterdam , Science Park 904 , 1098 XH Amsterdam , The Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Korteweg-de Vries Institute for Mathematics , University of Amsterdam , Science Park 904 , 1098 XH Amsterdam , The Netherlands","institution_ids":["https://openalex.org/I887064364"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052985299","display_name":"Martin Friesen","orcid":"https://orcid.org/0000-0002-5110-8404","observed_orcids":["https://orcid.org/0000-0002-5110-8404"]},"institutions":[{"id":"https://openalex.org/I187531555","display_name":"Lund University","ror":"https://ror.org/012a77v79","country_code":"SE","type":"education","lineage":["https://openalex.org/I187531555"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Friesen, Martin","raw_affiliation_strings":["Division of Mathematical Statistics , Lund University , Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Division of Mathematical Statistics , Lund University , Sweden","institution_ids":["https://openalex.org/I187531555"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/asian-options","display_name":"Asian options","score":0.9879999756813049},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.8119999766349792},{"id":"https://openalex.org/keywords/geometric-asian-options","display_name":"geometric Asian options","score":0.8040000200271606},{"id":"https://openalex.org/keywords/arithmetic-asian-options","display_name":"arithmetic Asian options","score":1.0},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.8009999990463257},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.8560000061988831},{"id":"https://openalex.org/keywords/affine-transformation","display_name":"affine transformation","score":0.5339999794960022},{"id":"https://openalex.org/keywords/control-variates","display_name":"control variates","score":0.8479999899864197},{"id":"https://openalex.org/keywords/markovian-approximation","display_name":"Markov approximation","score":0.9079999923706055},{"id":"https://openalex.org/keywords/markov-kernels","display_name":"Markov kernels","score":0.4519999921321869},{"id":"https://openalex.org/keywords/hedging-error","display_name":"hedging error","score":0.6480000019073486},{"id":"https://openalex.org/keywords/rebalancing-frequency","display_name":"rebalancing frequency","score":0.781000018119812}],"concepts":[{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.6685000061988831},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5934000015258789},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.527400016784668},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.46299999952316284},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.45879998803138733},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4449000060558319},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.42989999055862427},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.41040000319480896},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.4027000069618225},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.3905999958515167},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3903000056743622},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.3562000095844269},{"id":"https://openalex.org/C121683094","wikidata":"https://www.wikidata.org/wiki/Q3554721","display_name":"Control variates","level":5,"score":0.35569998621940613},{"id":"https://openalex.org/C33175817","wikidata":"https://www.wikidata.org/wiki/Q3740200","display_name":"Stochastic discount factor","level":3,"score":0.351500004529953},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.34929999709129333},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.33570000529289246},{"id":"https://openalex.org/C74193536","wikidata":"https://www.wikidata.org/wiki/Q574844","display_name":"Kernel (algebra)","level":2,"score":0.3246999979019165},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.3197999894618988},{"id":"https://openalex.org/C62644790","wikidata":"https://www.wikidata.org/wiki/Q3454689","display_name":"Variance reduction","level":3,"score":0.3190000057220459},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.30790001153945923},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.29989999532699585},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.2994000017642975},{"id":"https://openalex.org/C30084815","wikidata":"https://www.wikidata.org/wiki/Q4390268","display_name":"Variance-gamma distribution","level":4,"score":0.2973000109195709},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.28110000491142273},{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.27070000767707825},{"id":"https://openalex.org/C2780069185","wikidata":"https://www.wikidata.org/wiki/Q7977945","display_name":"Equivalence (formal languages)","level":2,"score":0.2685000002384186},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2644999921321869},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.26330000162124634},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.2623000144958496},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.25130000710487366}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:2609.07169","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2609.07169","pdf_url":"https://arxiv.org/pdf/2609.07169","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2609.07169","doi":"https://doi.org/10.48550/arxiv.2609.07169","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2609.07169","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2609.07169","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2609.07169","pdf_url":"https://arxiv.org/pdf/2609.07169","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7212015493.pdf","grobid_xml":"https://content.openalex.org/works/W7212015493.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4408260227","https://openalex.org/W2443429865","https://openalex.org/W1997637918","https://openalex.org/W907420543","https://openalex.org/W4293793738","https://openalex.org/W2325617644","https://openalex.org/W7213866891","https://openalex.org/W2092297742","https://openalex.org/W2954908033","https://openalex.org/W2024148329"],"abstract_inverted_index":{"We":[0],"develop":[1],"semi-closed":[2,50],"pricing":[3,51],"formulas":[4,52],"and":[5,13,41,76,88,99,128,152],"lifted-model":[6],"hedging":[7,114,135,159],"methods":[8],"for":[9,33,53,64,85,113,123],"discretely":[10,43],"monitored":[11,44],"geometric":[12,45,54,141],"arithmetic":[14,69],"Asian":[15,55,70,115,142],"options":[16],"in":[17,58,93],"the":[18,24,34,38,42,73,82,96,100,129,138,146,154],"Volterra-Heston":[19],"stochastic":[20],"volatility":[21],"model.":[22],"Exploiting":[23],"affine":[25],"Volterra":[26],"structure,":[27],"we":[28,79,107],"derive":[29,81],"a":[30,90,109,124],"tractable":[31],"transform":[32,48],"joint":[35],"law":[36],"of":[37,68,95,131,148,157],"terminal":[39],"log-price":[40],"average.":[46],"This":[47],"yields":[49],"options,":[56],"which":[57],"turn":[59],"provide":[60],"effective":[61],"control":[62],"variates":[63],"Monte":[65],"Carlo":[66],"valuation":[67],"options.":[71,116],"Under":[72],"stated":[74],"real-moment":[75],"affine-transform":[77],"hypotheses,":[78],"also":[80],"Galtchouk-Kunita-Watanabe":[83],"decomposition":[84],"Fourier-representable":[86],"payoffs":[87],"obtain":[89,108],"variance-optimal":[91],"hedge":[92],"terms":[94],"Riccati-Volterra":[97],"equation":[98],"forward-variance":[101],"curve.":[102],"Using":[103],"N-factor":[104],"Markovian":[105],"approximations,":[106],"finite-dimensional":[110],"numerical":[111,118],"implementation":[112],"Our":[117],"experiments":[119],"document":[120],"factor":[121],"convergence":[122],"regular":[125],"non-Markovian":[126],"kernel":[127],"effect":[130],"rebalancing":[132],"frequency":[133],"on":[134],"error.":[136],"In":[137],"Heston":[139],"benchmark,":[140],"controls":[143],"substantially":[144],"reduce":[145],"variance":[147],"arithmetic-Asian":[149],"price":[150],"estimates":[151],"improve":[153],"finite-sample":[155],"stability":[156],"regression-based":[158],"relative":[160],"to":[161],"direct":[162],"regression.":[163]},"counts_by_year":[],"updated_date":"2026-11-06T12:05:46.655746","created_date":"2026-09-10T00:00:00"}
