Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform

Autor:	Cao, Jiling, Kim, Jeong-Hoon, Li, Xi, Zhang, Wenjun
Rok vydání:	2022
Předmět:	Quantitative Finance - Pricing of Securities Primary 91G20 Secondary 41A60 44A99 91G60
Druh dokumentu:	Working Paper
Popis:	In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility model, by using an asymptotic approach. To find the explicit closed-form formulas for the zero-order term and the first-order correction term, we use Mellin transform. We also conduct a sensitivity analysis on these formulas, and compare the option prices calculated by them with those generated by Monte-Carlo simulation. Comment: 19 pages with 4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2205.00573 Zobrazit plný text záznamu View this record from Arxiv