Pricing of options in the singular perturbed stochastic volatility model
Pricing of options in the singular perturbed stochastic volatility model
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DOI：
10.1016/j.cam.2017.01.037
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发表时间：
2017-08
期刊：
影响因子：
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通讯作者：
Tianmiao Liu;Yoshifumi Muroi
中科院分区：
文献类型：
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作者：
Tianmiao Liu;Yoshifumi Muroi
基于奇异摄动方法的快速均值回复随机波动率模型的期权定价在过去的二十年里受到了广泛的关注。然而，它是不容易估计的近似的准确性，如果支付函数是不光滑或有界的，如欧洲看涨期权的情况。在这篇文章中，我们介绍了一种新的方法定价的快速均值回复随机波动率模型的期权。结合傅立叶分析和奇异摄动方法，使我们能够很容易地估计精度。我们还表明，这种方法允许我们得到的价格的欧式和丹麦的期权在快速均值回复的随机波动率环境中的跳跃。
The pricing of options in the fast mean-reverting stochastic volatility model using the singular perturbation method has received a considerable amount of attention in the last two decades. However, it is not to easy to estimate the accuracy of the approximation if the payoff function is not smooth or bounded, as is the case for European call options. In this article, we introduce a new novel approach for pricing options in the fast mean-reverting stochastic volatility model. Combinations of Fourier analysis and singular perturbation methods enable us to estimate the accuracy easily. We also show that this method allows us to derive the price of European and Bermudan options in the fast mean-reverting stochastic volatility environment with jumps.