An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
AbstractThis 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1302.3306.
Date of creation: Feb 2013
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Publication status: Published in JSIAM Letters Vol. 5 (2013) p.17-20
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-02 (All new papers)
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- Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-," CARF F-Series CARF-F-324, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2014.
- Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights ï¼ Application to Stochastic Volatility Model ï¼," CIRJE F-Series CIRJE-F-897, CIRJE, Faculty of Economics, University of Tokyo.
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