Pricing Discrete Barrier Options Under Stochastic Volatility
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DOI: 10.1007/s10690-011-9147-3
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- Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-682, CIRJE, Faculty of Economics, University of Tokyo.
- Gianluca Fusai & I. Abrahams & Carlo Sgarra, 2006. "An exact analytical solution for discrete barrier options," Finance and Stochastics, Springer, vol. 10(1), pages 1-26, January.
- Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Average Options under Stochastic Volatility Models," CARF J-Series CARF-J-059, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
- Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CARF F-Series CARF-F-149, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Nakahiro Yoshida, 2004. "An Asymptotic Expansion Scheme for Optimal Investment Problems," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 153-188, May.
- Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CIRJE F-Series CIRJE-F-695, CIRJE, Faculty of Economics, University of Tokyo.
Citations
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Cited by:
- Akihiko Takahashi & Masashi Toda, 2012. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-286, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2012.
- Akihiko Takahashi & Masashi Toda, 2013. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-312, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Takashi Kato & Akihiko Takahashi & Toshihiro Yamada, 2014. "A Semi-group Expansion for Pricing Barrier Options," CARF F-Series CARF-F-349, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Kenichiro Shiraya, 2016. "An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models (Forthcoming in International Journal of Theoretical and Applied Finance.)," CARF F-Series CARF-F-397, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2018.
- Shiraya, Kenichiro & Takahashi, Akihiko, 2017. "A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance," European Journal of Operational Research, Elsevier, vol. 258(1), pages 358-371.
- Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
- Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CIRJE F-Series CIRJE-F-874, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-," CARF F-Series CARF-F-324, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2014.
- Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-305, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Toshihiro Yamada, 2016. "An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)," CARF F-Series CARF-F-394, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Toshihiro Yamada, 2016. "An Asymptotic Expansion for Forward–Backward SDEs: A Malliavin Calculus Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 337-373, December.
- Akihiko Takahashi & Masashi Toda, 2012. "Note on an Extension of an Asymptotic Expansion Scheme," CIRJE F-Series CIRJE-F-860, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -- Application to Stochastic Volatility Model --," CIRJE F-Series CIRJE-F-897, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Toshihiro Yamada, 2014. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research," CARF F-Series CARF-F-347, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2014.
- Akihiko Takahashi & Toshihiro Yamada, 2016. "An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach," CIRJE F-Series CIRJE-F-1009, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
- Kenichiro Shiraya & Akihiko Takahashi, 2017. "Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Revised version of CARF-F-365 : Subsequently published in Mathematics of Operations Research)," CARF F-Series CARF-F-426, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Toshihiro Yamada, 2015. "On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 513-541, March.
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More about this item
Keywords
Discrete barrier option; Barrier option; Knock-out option; Double barrier option; Stochastic volatility; CEV model; Heston model; SABR model; λ-SABR model; Asymptotic expansion; Malliavin calculus;All these keywords.
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