CIRJE-F-873 | "An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model" |
Author Name | Takashi Kato, Akihiko Takahashi, and Toshihiro Yamada |
Date | January 2013 |
Full Paper | PDF file |
Remarks | Subsequently published in JSIAM Letters Vol. 5, 2013, pp.17-20. |
Abstract |
This paper derives a new semi closed-form approximation formula for pricing an upand- out barrier option under a certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed by Kato, Takahashi and Yamada [1]. We also demonstrate the validity of our approximation method through numerical examples. |