多尺度亚式期权定价模型的奇摄动解

Solution to multiscale Asian option pricing model with singular perturbation method

讨论了一类多尺度亚式期权定价随机波动率模型问题,其中随机波动率采用了具有快慢变换的随机波动率模型.通过Feynman-Kac公式,得到了风险资产期权价格所满足的相应的Black-Scholes方程,运用奇摄动渐近展开方法,得到了期权定价方程的渐近解,并得到其一致有效估计.

A stochastic volatility model for a class of multiscale Asian option pricing problem is discussed in this paper. The volatility of the model adopts a two-factor stochastic volatility model, including the fast mean reverting and the slowly varying factor. By using Feynman-Kac＇s formula, it turns out the Black- Scholes model in which the risky asserts of multiscale Asian option prices. A singular perturbation expansion is used to derive an approximation for multiscale Asian option pricing equation, and the uniform valid estimation is derived.