

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(12), 129157 
執筆形態  共著 
掲載誌名  Annals of Operations Research 
掲載区分  国外 
巻・号・頁  266(12),pp.129157 
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 closedform. Furthermore, ample numerical examples will show the accuracy of our approximation is high enough for practical applications. 