A semigroup expansion for pricing barrier options

DOI10.1155/2014/268086zbMath1303.91179arXiv1202.3002OpenAlexW3125885462WikidataQ59047004 ScholiaQ59047004MaRDI QIDQ462410

Takashi Kato, Toshihiro Yamada, Akihiko Takahashi

Publication date: 20 October 2014

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.3002

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) Initial value problems for second-order parabolic equations (35K15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model, Asymptotic Expansion Approach in Finance, Barrier option pricing under the 2-hypergeometric stochastic volatility model, A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance, Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals, AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

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