Quadratic approximation of the slow factor of volatility in a multifactor stochastic volatility model
提出了一个新模型，用二次曲线近似多因子随机波动模型中的慢波动因子，通过扰动法得到欧式期权价格的近似表达式，并引入修正的Black-Scholes价格，分析了定价精度和计算成本。
A new multifactor stochastic volatility model is proposed in which the slow volatility factor is approximated by a quadratic arc. The perturbation technique is used to obtain the approximate expression for the European option price. The notion of a modified Black‐Scholes price is introduced. A simplified expression for the European option price, perturbed around the modified Black‐Scholes price, is obtained. An expression of modified price is also obtained in terms of the Black‐Scholes price. The effect of this modification on pricing is explained, the accuracy of the approximate option pricing formula established, and its computational cost discussed.