An asymptotic valuation for the option under a general stochastic volatility

被引：1

作者：

Kim, YJ ^{[1
]}

机构：

[1] Hosei Univ, Fac Business Adm, Chiyoda Ku, Tokyo 1028160, Japan

来源：

JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN | 2002年 / 45卷 / 04期

关键词：

D O I：

10.15807/jorsj.45.404

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 article examines the valuation problem for the European option under a general stochastic volatility in a certain approximate sense by adopting the small disturbance asymptotic theory developed by Kunitomo and Takahashi [25, 26]. The option value can be decomposed into the Black and Scholes value under deterministic volatility and adjustment terms driven by the randomness of the volatility, which also extends some portions of Kunitomo and Kim [24].

引用

页码：404 / 425

页数：22

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