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- W2275173662 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 an asymptotic expansion approach. First, the paper derives an asymptotic expansion 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 approximation for pricing discrete barrier options with stochastic volatility models. Finally, it provides numerical examples for pricing double barrier call options with discrete monitoring under the Heston model." @default.
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- W2275173662 date "2011-01-01" @default.
- W2275173662 modified "2023-09-30" @default.
- W2275173662 title "Pricing Discrete Barrier Options under Stochastic Volatility" @default.
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- W2275173662 doi "https://doi.org/10.2139/ssrn.1584323" @default.
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