A closed-form approximation to European option prices under a multifactor extension of Heston's stochastic volatility model


In this study, we extend the multi-scale stochastic volatility model of [Fouque and Lorig, SIAM J. Finan. Math., 2011] by incorporating a slow varying factor of volatility.  Asymptotic analysis is developed to obtain an... [ view full abstract ]


  1. Sotheara Veng (Pusan National University)
  2. Ji-hun Yoon (Pusan National University)

Topic Areas

Asymptotics , Options , Stochastic Volatility


MO-P-B2 » Option Pricing (14:30 - Monday, 16th July, Beckett 2)

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