"An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model"
This paper derives a new semi closed-form approximation formula for pricing an upand- out barrier option under a certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed by Kato, Takahashi and Yamada [1]. We also demonstrate the validity of our approximation method through numerical examples.
Year of publication: |
2013-01
|
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Authors: | Kato, Takashi ; Takahashi, Akihiko ; Yamada, Toshihiro |
Institutions: | Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics |
Saved in:
freely available
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