Pricing European discrete barrier option based on Bates model
XUE Guangming1， DENG Guohe2
1.School of Information and Statistics， Guangxi University of Finance and Economics， Nanning， 530003， China；2.School of Mathematics and Statistics， Guangxi Normal University， Guilin， Guangxi， 541004， China
Abstract：Pricing European discrete barrier option is considered under the Bates model in this paper. Some stochastic analysis approaches such as the semi martingale It? formula， multivariate characteristic functions depending on at least two spot values for different points in time， Girsanov theorem， and Fourier inverse transform technique are used to derive the explicit formulas for the European discrete barrier call option. The impacts of some parameters in stochastic volatility process on the values of the barrier option values are examined by some numerical experiments. It is very useful for pricing the continuously monitored barrier options or other path-dependent options.
2018, Vol. 52 
