Asymptotic Solution for Constant Elasticity of Variance Model

摘要：

　　In financial option pricing, stochastic volatility models have become one of the standard approaches recently.Unlike the classical Black and Scholes model the volatility of the options underlying asset is not assumed to be constant, but is modelled as a second, correlated stochastic diffusion process.By using perturbation theory in partial differential equation, we obtain an asymptotic solution for European called option in constant elasticity of variance model as its β elasticity coefficient of volatility was closer to 2.

关键词： CEV model (Constant elasticity of variance model) Black-Scholes model asymptotic Solution

作者: YAN Yue YING Yirong

作者单位: College of Economics, Shanghai University, Shanghai, China, 10280 College of Economics, Shanghai University, Shanghai, China, 10280;School of Business, Xianda College

会议类型: 国际会议

会议名称: The 9th (2017)International Conference on Financial Risk and Corporate Finance Management(第九届(2017)金融风险与公司金融国际研讨会)

会议地点: 日本

会议语种:英文

页码: 34-39

在线出版日期: 2017-07-01（万方平台首次上网日期，不代表论文的发表时间）