Faculty Advisor

Professor Hasanjan Sayit

Faculty Advisor

Bogdan Vernescu

Identifier

etd-011311-102834

Abstract

In this project, we study an asymptotic expansion method for solving stochastic volatility European option pricing problems. We explain the backgrounds and details associated with the method. Specifically, we present in full detail the arguments behind the derivation of the pricing PDEs and detailed calculation in deriving asymptotic option pricing formulas using our own model specifications. Finally, we discuss potential difficulties and problems in the implementation of the methods.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2011-01-13

Accessibility

Unrestricted

Subjects

stochastic volatility option pricing, asymptotic expansion

Share

COinS