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Certificate of Completion
THIS ACKNOWLEDGES THAT
HAS COMPLETED THE FALL 2025 QUANT FINANCE BOOT CAMP
Luis Felipe Gutierrez
Roman Holowinsky, PhD
NOVEMBER 13, 2025
DIRECTOR
DATE

TEAM
How Volatility Dynamics Change Path-Dependent Prices
Luis Felipe Gutierrez

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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