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Semi-group Expansion for Pricing Barrier Options

Author

Listed:
  • Takashi Kato

    (Graduate School of Engineering Science, Osaka University)

  • Akihiko Takahashi

    (Faculty of Economics, The University of Tokyo)

  • Toshihiro Yamada

    (Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. (MTEC))

Abstract

No abstract is available for this item.

Suggested Citation

  • Takashi Kato & Akihiko Takahashi & Toshihiro Yamada, 2012. "Semi-group Expansion for Pricing Barrier Options," CARF F-Series CARF-F-271, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jun 2013.
    • Handle: RePEc:cfi:fseres:cf271
    as

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    File URL: https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F271.pdf
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    References listed on IDEAS

    as
    1. Sam Howison & Mario Steinberg, 2007. "A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 63-89.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Sam Howison, 2007. "A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 91-104.
    4. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "Pricing Discrete Barrier Options under Stochastic Volatility," CARF F-Series CARF-F-210, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2011.
    Full references (including those not matched with items on IDEAS)

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