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arXiv · 1302.3306

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

Takashi Kato·Akihiko Takahashi·Toshihiro Yamada
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Abstract

This paper derives a new semi closed-form approximation formula for pricing an up-and-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 (2012). We also demonstrate the validity of our approximation method through numerical examples.

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Takashi Kato, Akihiko Takahashi, Toshihiro Yamada. 2013-02-14. An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model. https://doi.org/10.14495/jsiaml.5.17

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