ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY

被引:3
|
作者
Cuthbertson, Charles [1 ]
Pavliotis, Grigorios [2 ]
Rafailidis, Avraam [3 ]
Wiberg, Petter [4 ]
机构
[1] Univ Oxford, Dept Stat, Oxford OX1 3TG, England
[2] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England
[3] Kings Coll London, Dept Math, London WC2R 2LS, England
[4] Univ Warwick, Math Inst, Coventry CV4 7AL, W Midlands, England
关键词
Derivatives pricing; FX options; stochastic volatility; multiscale analysis; singular perturbation theory;
D O I
10.1142/S0219024910006145
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We consider models for the valuation of derivative securities that depend on foreign exchange rates. We derive partial differential equations for option prices in an arbitragefree market with stochastic volatility. By use of standard techniques, and under the assumption of fast mean reversion for the volatility, these equations can be solved asymptotically. The analysis goes further to consider specific examples for a number of options, and to a considerable degree of complexity.
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页码:1131 / 1147
页数:17
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