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

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

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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