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 2016
形態種別 学術雑誌
査読 査読あり
標題 Funahashi H and Kijima M (2016), "Analytical Pricing of Barrier Options under Local Volatility Models," Quantitative Finance, 16(6), 867-886
執筆形態 共著
掲載誌名 Quantitative Finance
掲載区分国外
巻・号・頁 16(6),pp.867-886
著者・共著者 Hideharu Funahashi, Masaaki Kijima
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.