A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing

作者：

Highlights：

• Use partial differential equations (PDEs) modeling the fair price of Asian options.

• The combination of aPC and a system of PDEs with moving boundary conditions.

• The application of probability distributions constructed from real data of historic volatilities.

摘要

•Use partial differential equations (PDEs) modeling the fair price of Asian options.•The combination of aPC and a system of PDEs with moving boundary conditions.•The application of probability distributions constructed from real data of historic volatilities.

论文关键词：Uncertain volatility,Asian option,Statistical moments,Generalized polynomial chaos,Arbitrary polynomial chaos

论文评审过程：Received 26 September 2019, Revised 15 July 2020, Accepted 25 October 2020, Available online 21 November 2020, Version of Record 21 November 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125764