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摘要翻译：
利用遍历扩散的Edgeworth展开，证明了一般随机波动率模型下欧式期权价格近似公式的有效性。该渐近展开式在Black-Scholes价格附近，在有界支付函数下是一致的。该结果验证了已有的快速均值恢复随机波动率模型的奇异摄动展开式。
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英文标题：
《Asymptotic analysis for stochastic volatility: Edgeworth expansion》
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作者：
Masaaki Fukasawa
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
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 func- tions. The result provides a validation of an existing singular perturbation expansion formula for the fast mean reverting stochastic volatility model.
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PDF链接：
https://arxiv.org/pdf/1004.2106
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