An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model

被引：10

作者：

Jeon, Junkee ^{[1
]}

Yoon, Ji-Hun ^{[2
]}

Park, Chang-Rae ^{[3
,4
]}

机构：

[1] Seoul Natl Univ, Dept Math Sci, Seoul 08826, South Korea

[2] Pusan Natl Univ, Dept Math, Pusan 46241, South Korea

[3] Korea Investment & Secur Co Ltd, Investment & Financial Engn Dept, Seoul 07321, South Korea

[4] Yonsei Univ, Dept Math, Seoul 03722, South Korea

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2017年 / 449卷 / 01期

基金：

新加坡国家研究基金会;

关键词：

Double-barrier option; Stochastic volatility; Asymptotic analysis; Mellin transform method; PATH-DEPENDENT OPTIONS; MELLIN TRANSFORMS;

D O I：

10.1016/j.jmaa.2016.11.061

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we study a double-barrier option with a stochastic volatility model whose volatility is driven by a fast mean-reverting process, where the option's payoff is extinguished as the underlying asset crosses one of two barriers. By using an asymptotic analysis and Mellin transform techniques, we derive semi-analytic option pricing formulas with the sum of a leading-order term and a correction-order term, and then the accuracy of the first approximation price of the double-barrier option is verified by using Monte Carlo simulation. Moreover, we analyze the impact of stochastic volatility on the double-barrier option prices. Finally, we demonstrate that our results enhance the existing double-barrier option price structures in view of flexibility and applicability through the market price of volatility risk. (c) 2016 Elsevier Inc. All rights reserved.

引用

页码：207 / 227

页数：21

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