Uniform Asymptotic Expansions for European Down-and-Out Barrier Options
Date Issued
2011
Date
2011
Author(s)
Hsu, Shan-Chi
Abstract
We calculate the uniform asymptotic expansion for European down-and-out barrier options under the stochastic volatility model, where the volatility is driven by a mean-reverting diffusion process. We also discuss whether the modified method of uniform asymptotic expansion which we used in the last chapter can approximate the price of option with more accuracy.
Subjects
European barrier option
Mean-reverting process
Option pricing
Stochastic volatility
Uniform asymptotic expansion
Type
thesis
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ntu-100-R97221041-1.pdf
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