<abstract xmlns="http://www.w3.org/1999/xhtml"><p> 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.</p></abstract>

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.

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

Communications in Applied and Industrial Mathematics

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)

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...

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.

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 clésBoundary 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)

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