Lie-algebraic approach for pricing moving barrier options with time-dependent parameters

DOI10.1016/j.jmaa.2005.11.068zbMath1148.91020OpenAlexW3121534973MaRDI QIDQ855464

Cho-Hoi Hui, Chi-Fai Lo

Publication date: 7 December 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.11.068

zbMATH Keywords

optionsLie algebrapartial differential equationconstant elasticity of variance

Mathematics Subject Classification ID

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Cites Work

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• Valuation model of defaultable bond values in emerging markets
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
• Lie Algebraic Solution of Linear Differential Equations

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