歐式下出局選擇權之均勻漸近展開

Abstract

在本文中，我們計算出在隨機波動率模型下的歐式下出局選擇權的均勻漸近展開，其中波動率的隨機性來自一具備均數復歸特性的隨機過程。並於文末針對此一計算模型在以文內提出的方式進行修正後，是否能求得更為精確之選擇權價格估計值一點進行討論。

We calculate the uniform asymptotic expansion for European down-and-out barrier options under the stochastic volatility model, where the volatility is driven by a mean-reverting diffusion process. We also discuss whether the modified method of uniform asymptotic expansion which we used in the last chapter can approximate the price of option with more accuracy.