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On the closed-form approximation of short-time random strike options
Alòs, Elisa; León, Jorge A.
Universitat Pompeu Fabra. Departament d'Economia i Empresa
In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options withrandom strikes. Our method is based on Malliavin calculus techniques andallows us to obtain simple closed-form approximation formulas dependingon the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches ontwo-assets and three-assets spread options as Kirk's formula or the decomposition mehod presented in Alòs, Eydeland and Laurence (2011).
11-03-2013
Statistics, Econometrics and Quantitative Methods
spread options
kirk's formula
malliavin calculus
derivative operator in the malliavin calculus sense
skorohod integral.
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