【摘 要】
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In the present talk,I introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process.The numeri
【机 构】
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TokyoUniversityofScience,Japan
【出 处】
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2016随机微分方程和随机过程研讨会(Workshop on SDEs and Stochastic Processes
论文部分内容阅读
In the present talk,I introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process.The numerical scheme is based on an extension of a static hedging formula of barrier options.To get thestatic hedging formula,the underlying process needs to have a symmetry.I introduce a way to "symmetrize"a given diffusion process.Then the pricing of a barrier option is reduced to that of plain options under the symmetrized process.To show how our symmetrization scheme works,I will present some numerical results of path-independent Euler-Maruyama approximation applied to our scheme,comparing them with the path-dependent Euler-Maruyama scheme when the model is of the type Black-Scholes,CEV,Heston,and a SABR,respectively.The results show the effectiveness of our scheme.This is joint work with Yuta Ishigaki and Toshiki Okumura.
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