An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
Additional contact information
Takashi Kato: Osaka University
Akihiko Takahashi: The University of Tokyo
Toshihiro Yamada: The University of Tokyo & MTEC

No CARF-F-304, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: This 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 [1]. We also demonstrate the validity of our approximation method through numerical examples.

Pages: 10 pages
Date: 2012-11
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F304.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf304

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().