| 高维欧式期权定价模型的奇摄动解 |
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| 引用本文： | 包立平.高维欧式期权定价模型的奇摄动解[J].应用数学与计算数学学报,2011,25(2):194-204. |
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| 作者姓名： | 包立平 |
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| 作者单位： | 杭州电子科技大学理学院,杭州,310018 |
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| 摘 要： | 讨论了一类欧式期权定价问题的随机波动率模型,其随机波动率采用快速均值回归的随机波动率模型.通过采用奇摄动方法,得到了多风险资产欧式期权价格的形式渐近展开式,得到该合成展开式的一致有效误差估计.
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| 关 键 词： | 奇摄动 多风险资产 欧式期权 随机波动率 一致有效误差估计 |
Singular perturbation techniques applied to European option pricing in high dimension |
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| BAO Li-ping.Singular perturbation techniques applied to European option pricing in high dimension[J].Communication on Applied Mathematics and Computation,2011,25(2):194-204. |
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| Authors: | BAO Li-ping |
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| Institution: | BAO Li-ping (School of Science,Hangzhou Dianzi University,Hangzhou 310018,China) |
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| Abstract: | The pricing European option with a stochastic volatility model is considered in high dimension,where the volatility of the underlying assets follows an ergodic diffusion process,and the process is fast mean reverting.The formal expansions are justified using outer expansion of the option prices,and the uniform validation is derived. |
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| Keywords: | singular perturbation multi-asset European option stochastic volatility uniform error estimation |
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