Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit

DOI10.3934/fmf.2021002zbMath1498.91442arXiv2009.09342OpenAlexW3163061933MaRDI QIDQ2170290

Andrey Itkin, Dmitry Muravey

Publication date: 30 August 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.09342

zbMATH Keywords

semi-analytical solutiondouble barrier optionstime-dependent boundariesone-factor modelstime-dependent rebates-at-hit

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10) PDEs in connection with classical thermodynamics and heat transfer (35Q79)

Uses Software

• DLMF

Cites Work

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• The Fast Generalized Gauss Transform
• On the first hitting time density for a reducible diffusion process
• Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary

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