Pricing discrete barrier options under stochastic volatility
DOI10.1007/S10690-011-9147-3zbMATH Open1282.91347OpenAlexW3023084217MaRDI QIDQ1929151FDOQ1929151
Authors: Kenichiro Shiraya, Akihiko Takahashi, Toshihiro Yamada 
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
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asymptotic expansionMalliavin calculusCEV modelstochastic volatilitybarrier optionHeston modeldiscrete barrier optionSABR modeldouble barrier option\(\lambda \)-SABR modelknock-out option
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic models in economics (91B70)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
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- An asymptotic expansion approach to pricing financial contingent claims
- Stochastic calculus of variations in mathematical finance.
- An asymptotic expansion with push-down of Malliavin weights
- An exact analytical solution for discrete barrier options
- An asymptotic expansion scheme for optimal investment problems
- Asymptotics of implied volatility in local volatility models
- Weak and strong Taylor methods for numerical solutions of stochastic differential equations
- Lectures on stochastic differential equations and Malliavin calculus
- Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model
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- Stochastic Taylor expansions and heat kernel asymptotics
Cited In (26)
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- An analytical approximation for single barrier options under stochastic volatility models
- AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity
- Title not available (Why is that?)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- On the rate of convergence of prices of barrier options with discrete and continuous time
- Asymptotic Expansion Approach in Finance
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Title not available (Why is that?)
- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
- Title not available (Why is that?)
- Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Title not available (Why is that?)
- Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
- A semigroup expansion for pricing barrier options
- Title not available (Why is that?)
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- The evaluation of barrier option prices under stochastic volatility
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes
- Note on an extension of an asymptotic expansion scheme
- Two asset-barrier option under stochastic volatility
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model
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