Etd

 

Asymptotic Methods for Stochastic Volatility Option Pricing: An Explanatory Study Public

Downloadable Content

open in viewer

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.

Creator
Contributors
Degree
Unit
Publisher
Language
  • English
Identifier
  • etd-011311-102834
Keyword
Advisor
Defense date
Year
  • 2011
Date created
  • 2011-01-13
Resource type
Rights statement
License

Relationships

In Collection:

Items

Permanent link to this page: https://digital.wpi.edu/show/bz60cw48b