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 upand- 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 . We also demonstrate the validity of our approximation method through numerical examples.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-873.
Length: 10 pages
Date of creation: Jan 2013
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
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