Pricing options with Green's functions when volatility, interest rate and barriers depend on time
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Publication:3498560
DOI10.1080/14697680601161480zbMath1134.91371OpenAlexW2018914900MaRDI QIDQ3498560
A. Buch, Kurt Hawlitschek, Paul Schneider, Gregor Dorfleitner
Publication date: 15 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22098
Green's functionnumerical methodsoption pricingtime-dependent coefficientsAmerican options(Double) barrier options
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Related Items (7)
Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) ⋮ Barrier option pricing under the 2-hypergeometric stochastic volatility model ⋮ A numerical method for pricing discrete double barrier option by Legendre multiwavelet ⋮ Local time and the pricing of path-dependent options ⋮ Existence and uniqueness results for a semilinear Black-Scholes type equation ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion ⋮ Flexing the default barrier
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- A Continuity Correction for Discrete Barrier Options
- PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
- Pricing Options With Curved Boundaries1
- Pricing Barrier Options with Time–Dependent Coefficients
- The use, misuse and abuse of mathematics in finance
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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