Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - Center for International Research on the Japanese … - 2010
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in an asymptotic expansion approach....
