A uniform asymptotic expansion for stochastic volatility model in pricing multi-asset European options

作者：Ma Yansheng^*; Li Yong

来源：Applied Stochastic Models in Business and Industry, 2012, 28(4): 324-341.

DOI：10.1002/asmb.880

• option pricing
• stochastic volatility
• singular perturbation
• time scale

In this paper, we consider a stochastic volatility model for pricing multi-asset European options that are widely used in the real world, under the assumption that the volatilities are driven by different OU processes. Using the singular perturbation method for multi-parameter and the boundary layer theory, we derive a uniform asymptotic expansion for the option prices, as well as the uniform error estimates.

• 出版日期2012-8
• 单位吉林大学