Dear colleagues,

you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.

Thursday, 23 October 2025, 14.30-15.30 Seminar room, third floor, building 14, Via Bonardi 9, Milanohttps://www.google.com/maps/search/Via+Bonardi+9,+Milano?entry=gmail&source=g (Leonardo Campus)

Riccardo Brignone (Università di Pavia)

Title: Pricing path-dependent options under stochastic volatility models with full error control.

Abstract: In this paper, we propose a unified methodology for pricing general path-dependent derivatives (e.g., Asian and Barrier options) that is based on the Monte Carlo-Conditional Fourier-cosine method and works for a broad class of stochastic volatility models. The main benefit of the proposed approach over existing literature consists in a simple and effective control of the error. A practitioner simply needs to provide the pricing algorithm with two parameters: i) a probability, q; ii) an error tolerance epsilon. Then, our proposed algorithm provides a price approximation that differs by no more than epsilon from the true unknown option price with probability at least equal to q. We provide an explicit link between the variance of the Monte Carlo simulation estimator of the option price, the error tolerance, and the number of simulations. In this way, the pricing methodology becomes extremely efficient when combined with effective variance reduction techniques that drastically reduce the number of simulations (and, consequently, the computing time) required to obtain an arbitrarily accurate price estimate. Joint work with Gero Junike.

Attendance is also possible online (Microsoft Teams), clicking herehttps://teams.microsoft.com/l/meetup-join/19%3ameeting_NmZjNzAwNmYtM2I4OC00MTFkLWI3YWUtMzEzNWU3N2Y2N2Nm%40thread.v2/0?context=%7b%22Tid%22%3a%220a17712b-6df3-425d-808e-309df28a5eeb%22%2c%22Oid%22%3a%22afb4ebfa-b975-4c1c-879c-a0dad0b4e60b%22%7d

All news can be found on the QFinLab webpagehttps://www.qfinlab.polimi.it/seminars-and-meetings/.

The organizers: Michele Azzone and Alessandro Calvia.