Barrier option pricing: a hybrid method approach

DOI10.1080/14697680802595593zbMath1169.91345OpenAlexW2004984094MaRDI QIDQ3395743

Andrew Minglong Wang, Yi-Long Hsiao, Yu-Hong Liu

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802595593

zbMATH Keywords

Laplace transformfinite-difference methodhybrid methodbarrier option

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

A hybrid finite difference method for pricing two-asset double barrier options ⋮ Unnamed Item ⋮ The market pricing of the lifeboat provision in a closed-end fund

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Hybrid Laplace transform/finite element method for one-dimensional transient heat conduction problems
• Numerical analysis for hyperbolic heat conduction
• Connecting discrete and continuous path-dependent options
• Analysis of two-dimensional hyperbolic heat conduction problems
• Pricing double barrier options using Laplace transforms
• Hybrid method for transient response of circular pins
• Hybrid Laplace transform/finite difference method for transient heat conduction problems
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• An explicit finite difference approach to the pricing of barrier options
• Option pricing: A simplified approach

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