A semigroup expansion for pricing barrier options
type: Item
instance of: scholarly article
title: A semigroup expansion for pricing barrier options
zbMATH Open document ID: 1303.91179
DOI: 10.1155/2014/268086
author: Takashi Kato
author: Toshihiro Yamada
author: Akihiko Takahashi
published in: International Journal of Stochastic Analysis
publication date: 2014-10-20T00:00:00Z
full work available at URL: https://arxiv.org/abs/1202.3002
review text: Summary: This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develop a semigroup expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, we propose a concrete approximation formula under a stochastic volatility model and demonstrate its validity by some numerical experiments.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 35C20
Mathematics Subject Classification ID: 35K15
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6358575
Wikidata QID: Q59047004
MaRDI profile type: Publication
OpenAlex ID: W3125885462
arXiv ID: 1202.3002
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description: scientific article; zbMATH DE number 6358575