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

zbMATH Keywords

asymptotic expansionMalliavin calculusCEV modelstochastic volatilitybarrier optionHeston modeldiscrete barrier optionSABR modeldouble barrier option\(\lambda \)-SABR modelknock-out option

Mathematics Subject Classification ID

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

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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 no real title available?)
• 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 no real title available?)
• 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 no real title available?)
• 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 no real title available?)
• 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
• Title not available (Why is no real title available?)
• 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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