화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.52, No.3, 279-296, 2005
Uniform asymptotic expansions for pricing European options
Starting with a stochastic volatility model, in which the volatility depends on a nonlinear function of a fast varying diffusion, and assuming the fast diffusion is mean reverting, the problem of pricing European options is considered in this paper. Uniform asymptotic expansions of the option price are obtained. The formal expansions are justified and the uniform error bounds are derived using outer and inner expansions of the option prices.