英文标题：
《Quadratic approximation of slow factor of volatility in a Multi-factor
  Stochastic volatility Model》
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作者：
Gifty Malhotra, R. Srivastava, H. C. Taneja
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最新提交年份：
2017
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英文摘要：
  In the present work, we propose a new multifactor stochastic volatility model in which slow factor of volatility is approximated by a parabolic arc. We retain ourselves to the perturbation technique to obtain approximate expression for European option prices. We introduce the notion of modified Black-Scholes price. We obtain a simplified expression for European option price which is perturbed around the modified Black-Scholes price and have also obtained the expression of modified price in terms of Black-Scholes price.
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中文摘要：
在本文中，我们提出了一个新的多因素随机波动率模型，其中波动率的慢因子用抛物线近似。我们继续使用微扰技术来获得欧式期权价格的近似表达式。我们引入了修正Black-Scholes价格的概念。我们得到了受修正Black-Scholes价格扰动的欧式期权价格的简化表达式，并且还得到了修正价格在Black-Scholes价格方面的表达式。
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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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