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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62015

    Title: Asian Options under Multiscale Stochastic Volatility
    Authors: Jean-Pierre Fouque;Chuan-Hsiang Han
    教師: 韓傳祥
    Date: 2003
    Publisher: AMS
    Relation: AMS Contemporary Mathematics: Mathematics of Finance, AMS,2003, pp. 125 - 138.,2003
    Keywords: Asian
    Abstract: We study the problem of pricing arithmetic Asian options when the underlying is driven by stochastic volatility models with two well-separated characteristic time scales. The inherently path-dependent feature of Asian op-tions can be e ciently treated by applying a change of numeraire, introduced by Vercer. In our previous work on pricing Asian options, the volatility is modeled by a fast mean-reverting process. A singular perturbation expan-sion is used to derive an approximation for option prices. In this paper, we consider an additional slowly varying volatility factor so that the pricing par-tial di erential equation becomes four-dimensional. Using the singular-regular perturbation technique introduced by Fouque-Papanicolaou-Sircar-Solna, we show that the four-dimensional pricing partial di erential equation can be ap-proximated by solving a pair of one-dimensional partial di erential equations, which takes into account the full term structure of implied volatility.
    URI: http://mx.nthu.edu.tw/~chhan/asian2fsv.pdf
    Appears in Collections:[計量財務金融學系] 專書論文

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