摘要翻译：
本文引入了一类随机时变的快速均值回复随机波动率模型，并利用谱理论和奇异摄动技术，得到了在这种情况下欧式期权价格的一个近似。给出了三个随机时变的例子，并考察了由这些时变引起的隐含波动面作为模型参数的函数。我们的框架的三个主要特点是，我们能够将跳跃纳入基础资产的价格过程，考虑杠杆效应，以及适应在不同时间尺度上运行的多种波动因素。
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英文标题：
《Time-Changed Fast Mean-Reverting Stochastic Volatility Models》
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作者：
Matthew Lorig
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting. Three examples of random time-changes are provided and the implied volatility surfaces induced by these time-changes are examined as a function of the model parameters. Three key features of our framework are that we are able to incorporate jumps into the price process of the underlying asset, allow for the leverage effect, and accommodate multiple factors of volatility, which operate on different time-scales.
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PDF链接：
https://arxiv.org/pdf/1010.5203