Document Type masters report Author Name Chen, Lichen URN etd-011311-102834 Title Asymptotic Methods for Stochastic Volatility Option Pricing: An Explanatory Study Degree MS Department Mathematical Sciences Advisors Professor Hasanjan Sayit, Advisor Bogdan Vernescu, Department Head Keywords stochastic volatility option pricing asymptotic expansion Date of Presentation/Defense 2011-01-13 Availability unrestricted
In this project, we study an asymptotic expansion method for solving stochastic volatility European option pricing problems. We explain the backgrounds and details associated with the method. Specifically, we present in full detail the arguments behind the derivation of the pricing PDEs and detailed calculation in deriving asymptotic option pricing formulas using our own model specifications. Finally, we discuss potential difficulties and problems in the implementation of the methods.
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