- Journal Article
Rights / licenseCreative Commons Attribution 3.0 Unported
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes price and is uniform in bounded payoff functions. The result provides a validation of an existing singular perturbation expansion formula for the fast mean reverting stochastic volatility model. Show more
Journal / seriesElectronic Journal of Probability
Pages / Article No.
PublisherInstitute of Mathematical Statistics
SubjectErgodic diffusion; Fast mean reverting; Implied volatility
MoreShow all metadata