Pricing discrete barrier options under stochastic volatility

DOI10.1007/s10690-011-9147-3zbMath1282.91347OpenAlexW3023084217MaRDI QIDQ1929151

Toshihiro Yamada, Akihiko Takahashi, Kenichiro Shiraya

Publication date: 7 January 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-011-9147-3

zbMATH Keywords

asymptotic expansionstochastic volatilityMalliavin calculusHeston modelCEV modelbarrier optiondiscrete barrier optionSABR modeldouble barrier option\(\lambda \)-SABR modelknock-out option

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ Asymptotic Expansion Approach in Finance ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ A semigroup expansion for pricing barrier options ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate ⋮ Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes ⋮ Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

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