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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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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