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

MoreLess

Year of publication:	2014
Authors:	Kato, Takashi ; Takahashi, Akihiko ; Yamada, Toshihiro
Publisher:	[S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading \| Volatilität \| Volatility \| Black-Scholes-Modell \| Black-Scholes model \| Monte-Carlo-Simulation \| Monte Carlo simulation

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: JSIAM Letters, Vol. 5 (2013) p. 17-20 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 31, 2012 erstellt
Other identifiers:	10.2139/ssrn.2195010 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014162264