A Gaussian approximation scheme for computation of option prices in stochastic volatility models
随机波动率模型期权价格计算的高斯近似方案
We consider European options on a price process that follows the log-linear stochastic volatility model. Two stochastic integrals in the option pricing formula are costly to compute. We derive a central limit theorem to approximate them. At parameter settings appropriate to foreign exchange data our formulas improve computation speed by a factor of 1000 over brute force Monte Carlo making MCMC statistical methods practicable. We provide estimates of model parameters from…