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	2016
形態種別	学術雑誌
査読	査読あり
標題	Funahashi, H. and M. Kijima (2016), "Analytical Pricing of Barrier Options under Local Volatility Models," Quantitative Finance, 16(6), 867 - 886.
執筆形態	共著
掲載区分	国外
概要	This paper considers a single barrier option under a local volatility model and shows that any down-and-in option can be priced by a combination of three standard European options whose volatility functions are connected through symmetrization. The symmetrized volatility function is approximated by a sequence of smooth functions that converges to the original one. An approximation formula is developed to price the standard European options with the approximated volatility functions. Finally, we apply the Aitken convergence accelerator to obtain an approximate price of the down-and-in option. Other single barrier options are priced in a similar fashion.