AN ASYMPTOTIC VALUATION FOR THE OPTION UNDER A GENERAL STOCHASTIC VOLATILITY(Special Issue on Theory, Methodology and Applications in Financial Engneering)

DOI Web Site Web Site 1 Citations 66 References Open Access

Bibliographic Information

Other Title
  • An Asymptotic Valuation for the Option under a General Stochastic Volatility
  • Asymptotic Valuation for the Option under a General Stochastic Volatility

Search this article

Description

This article examines the valuation problem for the European option under a general stochastic volatility in a certain approximate sense by adopting the small disturbance asymptotic theory developed by Kunitomo and Takahashi. The option value can be decomposed into the Black and Scholes value under deterministic volatility and adjustment terms driven by the randomness of the volatility, which also extends some portions of Kunitomo and Kim.

Journal

Citations (1)*help

See more

References(66)*help

See more

Details 詳細情報について

Report a problem

Back to top