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

Publié en ligne: 24 mars 2018

Pages: 42 - 67

Reçu: 12 janv. 2017

Accepté: 02 févr. 2018

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

Mots clés

Boundary 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.