A Semi-group Expansion for Pricing Barrier Options
Akihiko Takahashi and
Additional contact information
Takashi Kato: Graduate School of Engineering Science, Osaka University
Akihiko Takahashi: Faculty of Economics, University of Tokyo
Toshihiro Yamada: Mitsubishi UFJ T rust Investment Technology Institute Co.,Ltd. (MTEC)
No CIRJE-F-841, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group 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.
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2012cf841
Access Statistics for this paper
More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Series data maintained by CIRJE administrative office ().