应用数学与计算数学学报
應用數學與計算數學學報
응용수학여계산수학학보
COMMUNICATION ON APPLIED MATHEMATICS AND COMPUTATION
2011年
2期
194-204
,共11页
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
奇攝動%多風險資產%歐式期權%隨機波動率%一緻有效誤差估計
기섭동%다풍험자산%구식기권%수궤파동솔%일치유효오차고계
singular perturbation%multi-asset%European option%stochastic volatility%uniform error estimation
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.
討論瞭一類歐式期權定價問題的隨機波動率模型,其隨機波動率採用快速均值迴歸的隨機波動率模型.通過採用奇攝動方法,得到瞭多風險資產歐式期權價格的形式漸近展開式,得到該閤成展開式的一緻有效誤差估計.
토론료일류구식기권정개문제적수궤파동솔모형,기수궤파동솔채용쾌속균치회귀적수궤파동솔모형.통과채용기섭동방법,득도료다풍험자산구식기권개격적형식점근전개식,득도해합성전개식적일치유효오차고계.
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.
