A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options

Yansheng Ma and Yong Li

Applied Stochastic Models in Business and Industry, 2012, vol. 28, issue 4, 324-341

Abstract: In this paper, we consider a stochastic volatility model for pricing multi‐asset European options that are widely used in the real world, under the assumption that the volatilities are driven by different OU processes. Using the singular perturbation method for multi‐parameter and the boundary layer theory, we derive a uniform asymptotic expansion for the option prices, as well as the uniform error estimates. Copyright © 2011 John Wiley & Sons, Ltd.

Date: 2012
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https://doi.org/10.1002/asmb.880

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:28:y:2012:i:4:p:324-341

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