A model‐free approximation for barrier options in a general stochastic volatility framework
针对现货价格与瞬时波动率相关的一般随机波动率框架，给出了连续监测单障碍期权的解析近似，该近似仅依赖市场可观测的隐含波动率和价格，不依赖于具体模型形式。
Abstract For a general stochastic volatility framework with correlation between the spot price and the instantaneous volatility, an analytical approximation for single barrier options with continuous monitoring is given. The approximation is expressed only in terms of market observable implied volatilities and prices. As such the approximation is independent of the specific form and number of parameters of the skew‐generating stochastic volatility model.