Pricing discrete barrier options under stochastic volatility

DOI10.1007/s10690-011-9147-3zbMath1282.91347OpenAlexW3023084217MaRDI QIDQ1929151

Toshihiro Yamada, Akihiko Takahashi, Kenichiro Shiraya

Publication date: 7 January 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-011-9147-3

zbMATH Keywords

asymptotic expansionstochastic volatilityMalliavin calculusHeston modelCEV modelbarrier optiondiscrete barrier optionSABR modeldouble barrier option\(\lambda \)-SABR modelknock-out option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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