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

• Chen, Lichen

Colaboradores

• Sayit, Hasanjan

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-011311-102834

Palavra-chave

• asymptotic expansion
• stochastic volatility option pricing

Advisor

• Sayit, Hasanjan

Defense date

• 2011-01-13

Year

• 2011

Date created

• 2011-01-13

Resource type

• Report

Rights statement

• In Copyright