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
   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 Higuchi T(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
掲載誌名 Annals of Operations Research
掲載区分国外
巻・号・頁 266(1-2),pp.129-157
著者・共著者 Hideharu Funahashi, Tomohide Higuchi
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.