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

A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.

eISSN:: 2038-0909
Sprache:: Englisch

Zeitrahmen der Veröffentlichung:: Volume Open
Fachgebiete der Zeitschrift:: Mathematik, Numerik und wissenschaftliches Rechnen, Angewandte Mathematik

Zeitschrift RSS Feed

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

Online veröffentlicht: 24. März 2018

Seitenbereich: 42 - 67

Eingereicht: 12. Jan. 2017

Akzeptiert: 02. Feb. 2018

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

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

© 2018

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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

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