{"id":"https://openalex.org/W7216503869","doi":"https://doi.org/10.48550/arxiv.2610.00340","title":"Short-term barrier option price expansion","display_name":"Short-term barrier option price expansion","publication_year":2026,"publication_date":"2026-09-29","ids":{"openalex":"https://openalex.org/W7216503869","doi":"https://doi.org/10.48550/arxiv.2610.00340"},"language":"en","primary_location":{"id":"pmh:oai:arXiv.org:2610.00340","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2610.00340","pdf_url":"https://arxiv.org/pdf/2610.00340","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2610.00340","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5006305714","display_name":"Masaaki Fukasawa","orcid":"https://orcid.org/0000-0002-0848-5001","observed_orcids":["https://orcid.org/0000-0002-0848-5001"]},"institutions":[{"id":"https://openalex.org/I98285908","display_name":"The University of Osaka","ror":"https://ror.org/035t8zc32","country_code":"JP","type":"education","lineage":["https://openalex.org/I98285908"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Fukasawa, Masaaki","raw_affiliation_strings":["The University of Osaka"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The University of Osaka","institution_ids":["https://openalex.org/I98285908"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5006305714"],"corresponding_institution_ids":["https://openalex.org/I98285908"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/barrier-option-pricing","display_name":"barrier option pricing","score":0.8460000157356262},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.7730000019073486},{"id":"https://openalex.org/keywords/rough-volatility","display_name":"rough volatility","score":0.7749999761581421},{"id":"https://openalex.org/keywords/implied-volatility-skew","display_name":"implied volatility skew","score":0.6790000200271606},{"id":"https://openalex.org/keywords/running-maximum","display_name":"running maximum","score":0.6880000233650208},{"id":"https://openalex.org/keywords/weak-convergence","display_name":"weak convergence","score":0.5559999942779541}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7027000188827515},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.631600022315979},{"id":"https://openalex.org/C2776631005","wikidata":"https://www.wikidata.org/wiki/Q808919","display_name":"Barrier option","level":2,"score":0.5770999789237976},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5716000199317932},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4936000108718872},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.48969998955726624},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.489300012588501},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.4235000014305115},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39730000495910645},{"id":"https://openalex.org/C2779834249","wikidata":"https://www.wikidata.org/wiki/Q6664586","display_name":"Local volatility","level":4,"score":0.3610999882221222},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.34940001368522644},{"id":"https://openalex.org/C2987642246","wikidata":"https://www.wikidata.org/wiki/Q5452196","display_name":"First order","level":2,"score":0.33640000224113464},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.3343999981880188},{"id":"https://openalex.org/C175223733","wikidata":"https://www.wikidata.org/wiki/Q1047888","display_name":"Spot contract","level":3,"score":0.31459999084472656},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.296999990940094},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.29269999265670776},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.29260000586509705},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.28189998865127563},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.27730000019073486},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.2720000147819519},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.26089999079704285},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.2597000002861023},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.2529999911785126}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:2610.00340","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2610.00340","pdf_url":"https://arxiv.org/pdf/2610.00340","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2610.00340","doi":"https://doi.org/10.48550/arxiv.2610.00340","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2610.00340","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2610.00340","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2610.00340","pdf_url":"https://arxiv.org/pdf/2610.00340","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7216503869.pdf","grobid_xml":"https://content.openalex.org/works/W7216503869.grobid-xml"},"referenced_works_count":3,"referenced_works":["https://openalex.org/W2096648894","https://openalex.org/W2511232964","https://openalex.org/W4415879978"],"related_works":["https://openalex.org/W3101927426","https://openalex.org/W3036294524","https://openalex.org/W3176251146","https://openalex.org/W4415879978","https://openalex.org/W2273077047","https://openalex.org/W4394191058","https://openalex.org/W7216055169","https://openalex.org/W2511232964","https://openalex.org/W3137496709","https://openalex.org/W3009652274"],"abstract_inverted_index":{"We":[0],"derive":[1],"a":[2,126],"short-maturity":[3,110],"expansion":[4],"for":[5],"up-and-out":[6],"put":[7],"barrier":[8,20,59],"option":[9],"prices":[10],"under":[11],"continuous":[12],"stochastic":[13],"volatility":[14,39,86,99,116],"when":[15],"the":[16,19,22,25,33,37,42,52,56,63,81,84,104,109,122,133,137],"strike":[17],"and":[18,41,88],"approach":[21],"spot":[23],"at":[24],"diffusive":[26],"scale.":[27],"Assuming":[28],"joint":[29],"weak":[30],"convergence":[31],"of":[32,72,83],"normalized":[34],"terminal":[35],"return,":[36],"relative":[38,85],"fluctuation,":[40,87],"running":[43],"maximum,":[44],"together":[45],"with":[46,118],"uniform":[47],"integrability,":[48],"we":[49],"show":[50,131],"that":[51,132],"leading":[53],"term":[54],"is":[55,71,80,89,106],"time-inhomogeneous":[57],"Black-Scholes":[58,138],"price":[60],"fitted":[61],"to":[62,125],"forward":[64],"variance":[65],"curve.":[66],"The":[67],"first":[68],"model-dependent":[69],"correction":[70,134],"order":[73,82],"$\u03b8^{H+1/2}$,":[74],"where":[75,101],"$\u03b8^H$,":[76],"$H":[77,119],"\\in":[78],"(0,1/2]$,":[79],"represented":[90],"explicitly":[91],"through":[92],"killed":[93],"Brownian":[94],"transition":[95],"densities.":[96],"For":[97,114],"regular":[98],"models,":[100],"$H=":[102],"1/2$,":[103,121],"coefficient":[105,123],"determined":[107],"by":[108],"at-the-money":[111],"implied-volatility":[112],"skew.":[113],"rough":[115],"models":[117],"<":[120],"reduces":[124],"one-dimensional":[127],"integral.":[128],"Numerical":[129],"experiments":[130],"materially":[135],"improves":[136],"approximation.":[139]},"counts_by_year":[],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2026-10-03T00:00:00"}
