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Your certificate is now private

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Certificate of Completion

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THIS ACKNOWLEDGES THAT

HAS COMPLETED THE FALL 2025 QUANT FINANCE BOOT CAMP

Luis Felipe Gutierrez

Roman Holowinsky, PhD

NOVEMBER 13, 2025

DIRECTOR

DATE

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TEAM

How Volatility Dynamics Change Path-Dependent Prices

Luis Felipe Gutierrez

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This project compares arithmetic Asian call option pricing under Geometric Brownian Motion (GBM) and GARCH(1,1) volatility dynamics. Using yfinance data and Monte Carlo simulation, it analyzes how volatility clustering affects the distribution of average prices and resulting option values. Results highlight why market makers quote using GBM for consistency while employing GARCH for volatility forecasting and risk calibration.

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github URL

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