题  目： Pricing of volume-weighted average options: analytical approximations and numerical results

报告人： Alexander Novikov, University of Technology, Sydney,

           （Joint work with Nino Kordzakhia, Macquarie University, Sydney and Timothy G. Ling University of Technology, Sydney）

时  间：5月14日，下午4:30-5:30

地  点：管理科研楼 1611

Abstract：The volume weighted average price (VWAP) over rolling number of days in the averaging period is used as a benchmark price by market participants and can be regarded as an estimate for the price that a passive trader will pay to purchase securities in a market.  VWAP is commonly used in brokerage houses as a quantitative trading tool and also appears in Australian taxation law to specify the price of share-buybacks of publically-listed companies. Most of the existing literature on VWAP focuses on strategies and algorithms to acquire market securities at a price as close as possible to VWAP.  In our setup the volume process is modelled via a shifted squared Gaussian Ornstein-Uhlenbeck process or Gamma Ornstein-Uhlenbeck process; a geometric Brownian motion is used to model the asset price.  We derive the analytical formulae for moments of VWAP and then use the moment matching approach to approximate a distribution of VWAP.

Numerical results for moments of VWAP and call-option prices have been verified by Monte Carlo simulations.

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国家数学与交叉科学中心合肥分中心

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