An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model

DOI10.14495/jsiaml.5.17zbMath1419.91620arXiv1302.3306OpenAlexW3101927426MaRDI QIDQ3121191

Takashi Kato, Toshihiro Yamada, Akihiko Takahashi

Publication date: 15 March 2019

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.3306

zbMATH Keywords

asymptotic expansionbarrier optionstochastic volatility modelup-and-out call option

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Asymptotic Expansion Approach in Finance ⋮ An analytical approximation method for pricing barrier options under the double Heston model ⋮ Valuation of barrier and lookback options under hybrid CEV and stochastic volatility ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

Cites Work

• An Asymptotic Expansion with Push-Down of Malliavin Weights
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