Skip to main content
SpringerLink
Log in

Uniform Asymptotic Expansions for Pricing European Options

  • Published:
Applied Mathematics and Optimization Submit manuscript

Abstract

Starting with a stochastic volatility model, in which the volatility depends on a nonlinear function of a fast varying diffusion, and assuming the fast diffusion is mean reverting, the problem of pricing European options is considered in this paper. Uniform asymptotic expansions of the option price are obtained. The formal expansions are justified and the uniform error bounds are derived using outer and inner expansions of the option prices.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

Author information

Authors and Affiliations

  1. Department of Mathematics, Wayne State University, Detroit, MI 48202, USA

    Rafail Z. Khasminskii & G. Yin

Authors
  1. Rafail Z. Khasminskii
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. G. Yin
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding authors

Correspondence to Rafail Z. Khasminskii or G. Yin.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Khasminskii, R., Yin, G. Uniform Asymptotic Expansions for Pricing European Options. Appl Math Optim 52, 279–296 (2005). https://doi.org/10.1007/s00245-005-0833-2

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/s00245-005-0833-2

Search

Navigation