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A Note on Pricing Barrier Options Under a Stochastic Volatility Model: An Asymptotic Expansion with Static Hedging
| Content Provider | Semantic Scholar |
|---|---|
| Author | Shiraya, Kenichiro Takahashi, Akihiko Toda, Masashi |
| Copyright Year | 2009 |
| Abstract | This short note proposes an approximation method of pricing barrier options under stochastic volatility environment by applying an asymptotic expansion approach combined with a static hedging method. In particular, through numerical examples it shows that the fifth-order normal approximation of an asymptotic expansion scheme (Shiraya-Takahashi-Toda, Takahashi-Takehara-Toda) with a modification of a static hedging method by Fink provides good approximations under the lambda-SABR model. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1442193 |
| Alternate Webpage(s) | http://park.itc.u-tokyo.ac.jp/takahashi-lab/WPs/wp11.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.1442193 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
