A Semi-group Expansion for Pricing Barrier Options
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, we propose a concrete approximation formula under a stochastic volatility model and demonstrate its validity by some numerical experiments.
Year of publication: |
2014-08
|
---|---|
Authors: | Kato, Takashi ; Takahashi, Akihiko ; Yamada, Toshihiro |
Institutions: | Center for Advanced Research in Finance, Faculty of Economics |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Semi-group Expansion for Pricing Barrier Options
Kato, Takashi, (2012)
-
Kato, Takashi, (2012)
-
Takahashi, Akihiko, (2014)
- More ...