Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)

DOI10.1515/CAIM-2018-0004zbMath1393.65026OpenAlexW2799288191MaRDI QIDQ1642274

Chiara Guardasoni

Publication date: 20 June 2018

Published in: Communications in Applied and Industrial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/caim-2018-0004

zbMATH Keywords

greeksboundary element methodintegral equationsBlack-Scholesbarrier optionstime-dependent parameters

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38)

Related Items (4)

Calibration of the temporally varying volatility and interest rate functions ⋮ Collocation boundary element method for the pricing of geometric Asian options ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code)

Uses Software

• Matlab

Cites Work

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• Tools for computational finance

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