15 citations · 48 across the 12 of their papers we have counts for
3 papers · 1 filter
Order Estimates for the Exact Lugannani-Rice Expansion
Takashi Kato, Jun Sekine, Kenichi Yoshikawa
The Lugannani-Rice formula is a saddlepoint approximation method for estimating the tail probability distribution function, which was originally studied for the sum of independent…
An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by…
A Semi-group Expansion for Pricing Barrier Options
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada
This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-D…