研究者情報 | 神奈川大学

フナハシ　ヒデハル Funahashi Hideharu 舟橋　秀治所属神奈川大学経済学部経済学科/現代ビジネス学科神奈川大学大学院経済学研究科経済学専攻（公共政策コース）職種准教授
言語種別	英語
発行・発表の年月	2018/07
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. and T. Higuchi (2018), "An Analytical Approximation for Single Barrier Options under Stochastic Volatility Models," Annals of Operations Research, 266(1-2), 129 - 157.
執筆形態	共著
掲載区分	国外
概要	The aim of this paper is to derive an approximation formula for a single barrier option under local volatility models, stochastic volatility models, and their hybrids, which are widely used in practice. The basic idea of our approximation is to mimic a target underlying asset process by a polynomial of the Wiener process. We then translate the problem of solving first hit probability of the asset process into that of a Wiener process whose distribution of passage time is known. Finally, utilizing the Girsanov's theorem and the reflection principle, we show that single barrier option prices can be approximated in a closed-form. Furthermore, ample numerical examples will show the accuracy of our approximation is high enough for practical applications.