Pricing discrete barrier options under stochastic volatility
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Publication:1929151
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
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- 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 (34)
- 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
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Pricing barrier stock options with discrete dividends by approximating analytical formulae
- 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
- 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
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- Title not available (Why is that?)
- An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
- Pricing European discrete barrier option based on Bates model
- Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)
- Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
- 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
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- A semigroup expansion for pricing barrier options
- A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump
- Pricing options on discrete realized variance with partially exact and bounded approximations
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- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
- Efficiently pricing double barrier derivatives in stochastic volatility models
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- Asymptotic expansion approach in finance
- 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
- Note on an extension of an asymptotic expansion scheme
- Two asset-barrier option under stochastic volatility
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