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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 up-and-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 (2012). We also demonstrate the validity of our approximation method through numerical examples.
Year of publication:
2013-02
Authors: Kato, Takashi ; Takahashi, Akihiko ; Yamada, Toshihiro
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Published in JSIAM Letters Vol. 5 (2013) p.17-20
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Persistent link: https://www.econbiz.de/10010783589
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