Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility

被引：13
|
作者：
Chiu, Mel Choi [1 ]
Lo, Yu Wai [1 ]
Wong, Hoi Ying [1 ]
机构：
[1] Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R China
来源：
OPERATIONS RESEARCH LETTERS | 2011年 / 39卷 / 04期
关键词：
Option pricing; Mean reversion; Multiscale asymptotic; Stochastic volatility; CURRENCY OPTIONS; EXCHANGE-RATES; REVERSION; PRICES; MODELS;
D O I：
10.1016/j.orl.2011.06.002
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This work investigates the valuation of options when the underlying asset follows a mean-reverting log-normal process with a stochastic volatility that is driven by two stochastic processes with one persistent factor and one fast mean-reverting factor. Semi-analytical pricing formulas for European options are derived by means of multiscale asymptotic techniques. Numerical examples demonstrate the use of the model and the quality of the numerical scheme. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：289 / 295
页数：7
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