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タイトル: On Pricing Barrier Options with Discrete Monitoring
著者: Shiraya, Kenichiro
Takahashi, Akihiko
Yamada, Toshihiro
キーワード: discrete barrier option
barrier option
knock-out option
double barrier option
stochastic volatility
asymptotic expansion
Malliavin calculus
Malliavin weight
発行日: 2010年3月
出版者: 日本経済国際共同センター
抄録: This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula in Malliavin calculus is effectively applied in an asymptotic expansion approach. First, the paper derives an expansion formula for generalized Wiener functionals. After it is applied to pricing path-dependent derivatives with discrete monitoring, the paper presents an analytic (approximation) formula for valuation of discrete barrier options under stochastic volatility environment. To our knowledge, this paper is the first one that shows an analytical formula for pricing discrete barrier options with stochastic volatility models. Moreover, it provides numerical examples for pricing double barrier call options with discrete monitoring under the Heston model.
内容記述: Revised in April 2010, February 2011 and August 2011; forthcoming in Asia Pacific Financial Markets.
URI: http://hdl.handle.net/2261/35807
その他の識別子: CIRJE-F-725
出現カテゴリ:061 ディスカッションペーパー
Discussion Paper F series (in English)


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