搜索结果: 1-2 共查到“商业经济学 Option Prices”相关记录2条 . 查询时间(0.046 秒)
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
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2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
Small-Time Asymptotics of Option Prices and First Absolute Moments
option price absolute moment small-time asymptotics approximation
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2010/10/20
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first cent...