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

Takashi KatoAkihiko TakahashiToshihiro Yamada

出版	SSRN, 2014
URL	http://books.google.com.hk/books?id=advezwEACAAJ&hl=&source=gbs_api

註釋

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.