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.
| Identifer | oai:union.ndltd.org:wpi.edu/oai:digitalcommons.wpi.edu:etd-theses-1079 |
| Date | 13 January 2011 |
| Creators | Chen, Lichen |
| Contributors | Hasanjan Sayit, Advisor, Bogdan M. Vernescu, Department Head, |
| Publisher | Digital WPI |
| Source Sets | Worcester Polytechnic Institute |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Masters Theses (All Theses, All Years) |
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