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Sponsored AI Networking Cookbook: Practical recipes for AI-assisted network automation and development AI Networking Cookbook: Practical recipes for AI-assisted network automation and development

Author

Martin Friesen

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Preprint Sep 2026

Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model

We develop semi-closed pricing formulas and lifted-model hedging methods for discretely monitored geometric and arithmetic Asian options in the Volterra-Heston stochastic volatility model. Exploiting the affine Volterra structure, we derive a tractable transform for the joint law of the terminal log-price and the discr...

G. Custers, Sven Karbach, Martin Friesen · 0 citations

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