Pricing discrete barrier options under stochastic volatility

This service is more advanced with JavaScript available, learn more at http: This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with discrete monitoring.

To the best of our knowledge, this paper is the first one that shows an analytical approximation for pricing discrete barrier options with stochastic volatility models.

This research is supported by CARF Center for Advanced Research in Finance , Graduate School of Economics, the University of Tokyo. All the contents expressed in this research are solely those of the authors and do not represent the view of Mitsubishi UFJ Trust Investment Technology Institute Co.

MTEC , Mizuho-DL Financial Technology Co. Part of Springer Nature. Not logged in Not affiliated Pricing Discrete Barrier Options Under Stochastic Volatility.

Cite this article as: Asia-Pac Financ Markets Stochastic Taylor expansions and heat Kernel asymptotics. Preprint, Department of Mathematics, Purdue University. Journal of Futures Markets 23 9: Finance Stoch 3 4: Asymptotics of implied volatility in local volatility models. Forthcoming in Mathematical Finance.

Pricing Discrete Barrier Options under Stochastic Volatility

Springer, Berlin Google Scholar. Springer, New York Google Scholar. Pricing barrier and average options under stochastic volatility environment. Preprint, CARF-F, Graduate School of Economics, University of Tokyo. Quantitative Finance 11 4: Asia-Pacific Financial Markets 6: On an asymptotic expansion approach to numerical problems in finance.

Pricing Discrete Barrier Options Under Stochastic Volatility | SpringerLink

Selected papers on probability and statistics , Series 2 Vol. Computation in an asymptotic expansion method.

Working paper, CARF-F, The University of Tokyo. An asymptotic expansion with push-down of Malliavin weights Preprint. Statistical Inference for Stochastic Processes 7: Lecture notes in control and information science Vol.

Large Deviations and Asymptotic Methods in Finance - Google Livres

Graduate School of Economics The University of Tokyo Tokyo Japan 2. Mizuho-DL Financial Technology Co. Mitsubishi UFJ Trust Investment Technology Institute Co.

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