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

Published Online: Mar 24, 2018

Page range: 42 - 67

Received: Jan 12, 2017

Accepted: Feb 02, 2018

DOI: https://doi.org/10.1515/caim-2018-0004

Keywords

Boundary Element Method, Black-Scholes, Barrier Options, Greeks, Time-Dependent Parameters, Integral Equations

© 2018

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