- 著者
-
Takashi Kato
Akihiko Takahashi
Toshihiro Yamada
- 出版者
- 一般社団法人 日本応用数理学会
- 雑誌
- JSIAM Letters (ISSN:18830609)
- 巻号頁・発行日
- vol.5, pp.17-20, 2013 (Released:2013-03-06)
- 参考文献数
- 3
- 被引用文献数
-
2
7
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.