|CIRJE-F-873||"An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model"|
Takashi Kato, Akihiko Takahashi, and Toshihiro Yamada
|Full Paper||PDF file|
|Remarks||Subsequently published in JSIAM Letters Vol. 5, 2013, pp.17-20.|
This paper derives a new semi closed-form approximation formula for pricing an upand- 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.