Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-011311-102834

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Author NameChen, Lichen
TitleAsymptotic Methods for Stochastic Volatility Option Pricing: An Explanatory Study
DepartmentMathematical Sciences
  • Professor Hasanjan Sayit, Advisor
  • Bogdan Vernescu, Department Head
  • Keywords
  • stochastic volatility option pricing
  • asymptotic expansion
  • Date of Presentation/Defense2011-01-13
    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.

  • MasterProject_Chen.pdf

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