Graduate School of Economics, the University of Tokyo
Mitsubishi UFJ Trust Investment Technology Institute Co.,Ltd. (MTEC)
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.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-696
発行年
2009-12
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
