Analytical pricing of single barrier options under local volatility models
Analytical pricing of single barrier options under local volatility models
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局部波动率模型下单一障碍期权的分析定价
DOI：
10.1080/14697688.2015.1101483
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发表时间：
2017
影响因子：
1.3
通讯作者：
M.
中科院分区：
文献类型：
--
作者：
Funahashi;H. and Kijima;M.
本文考虑了一个局部波动率模型下的单一障碍期权，证明了任何向下和向内期权都可以由三个标准欧式期权的组合来定价，它们的波动率函数通过对称化联系起来。对称化的波动率函数由一系列收敛于原函数的光滑函数逼近。给出了用近似波动率函数对标准欧式期权定价的近似公式。最后，我们应用Aitken收敛加速器来获得向下和向内期权的近似价格。其他单一障碍期权的定价方式也类似。
This paper considers a single barrier option under a local volatility model and shows thatanydown-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.