Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5776133 | Journal of Computational and Applied Mathematics | 2018 | 17 Pages |
Abstract
Using a regular perturbation method from asymptotic analysis of partial differential equations, we derive an explicit and easily computable approximate formula for the pricing of barrier options under the 2-hypergeometric stochastic volatility model. The asymptotic convergence of the method is proved under appropriate regularity conditions, and a multi-stage method for improving the quality of the approximation is discussed. Numerical examples are also provided.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Rúben Sousa, Ana Bela Cruzeiro, Manuel Guerra,