Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific Financial Markets 19 (2012) 3, pp. 205-232
that shows an analytical approximation for pricing discrete barrier options with stochastic volatility models. Furthermore …This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic … volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are …