数量ファイナンス
F-series
作成:
番号:CARF-F-210
Pricing Discrete Barrier Options under Stochastic Volatility (Revised in August 2011; Subsequently published in “Asia Pacific Financial Markets”)
Abstract
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 and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with discrete monitoring. To our knowledge, this paper is the first one that shows an analytical approximation for pricing discrete barrier options with stochastic volatility models. Furthermore, it provides numerical examples for pricing double barrier call options with discrete monitoring under Heston and λ-SABR models.