Barrier option pricing under the 2-hypergeometric stochastic volatility model
作者：
Highlights：
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• We investigate the pricing of barrier options under stochastic volatility.
• Using an asymptotic expansion method, an explicit pricing formula is derived.
• The convergence of the asymptotic solution is proved.
• The evaluation of the asymptotic prices is fast and suitable for practical uses.
• Our numerical examples demonstrate that the approach leads to a small error.
摘要
•We investigate the pricing of barrier options under stochastic volatility.•Using an asymptotic expansion method, an explicit pricing formula is derived.•The convergence of the asymptotic solution is proved.•The evaluation of the asymptotic prices is fast and suitable for practical uses.•Our numerical examples demonstrate that the approach leads to a small error.
论文关键词：Finance,Option pricing theory,Stochastic volatility,Asymptotic analysis,Regular perturbation method
论文评审过程：Received 26 December 2016, Revised 5 May 2017, Available online 2 August 2017, Version of Record 17 August 2017.
论文官网地址：https://doi.org/10.1016/j.cam.2017.06.034
