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An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
http://hdl.handle.net/2261/53264
http://hdl.handle.net/2261/53264e2f843d4-a400-4f16-86f0-bb9ef9faf814
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Barrier Option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Up-and-Out Call Option | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic Expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Stochastic Volatility Model | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kato, Takashi
× Kato, Takashi× Takahashi, Akihiko× Yamada, Toshihiro |
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著者所属 | ||||||
著者所属 | Osaka University | |||||
著者所属 | ||||||
著者所属 | The University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, the University of Tokyo | |||||
著者所属 | ||||||
著者所属 | MTEC | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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. We also demonstrate the validity of our approximation method through numerical examples. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Forthcoming in JSIAM Letters. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-873, 発行日 2013-01 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
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 | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf873ab.html |