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在本文中,我们考虑欧式期权定价问题的随机波动率模型.在非光滑收益函数的假设下,通过摄动分析和磨光逼近技巧,我们解带有小参数的倒向偏微分方程,并得到欧式期权价格的一致渐近展式及其一致有效的误差估计.
In this paper, we consider the stochastic volatility model of European option pricing. Under the assumption of non-smooth income function, we solve the backward partial differential equation with small parameters by perturbation analysis and polishing approximation technique and obtain Uniform Asymptotic Form of European Option Price and Its Uniform and Efficient Error Estimation.