| Título: | Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion |
| Autores: | Fukasawa, Masaaki; ETH Zürich |
| Fecha: | 2011-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
ergodic diffusion; fast mean reverting; implied volatility 60F05; 34E15 |
| Descripción: | The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff functions. The result provides a validation of an existing singular perturbation expansion formula for the fast mean reverting stochastic volatility model. |
| Idioma: | No aplica |
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