A semigroup expansion for pricing barrier options (Q462410): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q239814 |
||
Property / author | |||
Property / author: Akihiko Takahashi / rank | |||
Revision as of 08:25, 11 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A semigroup expansion for pricing barrier options |
scientific article |
Statements
A semigroup expansion for pricing barrier options (English)
0 references
20 October 2014
0 references
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.
0 references