Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (Q1642274): Difference between revisions

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English	Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)	scientific article

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instance of

scholarly article

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title

Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (English)

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published in

Communications in Applied and Industrial Mathematics

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publication date

20 June 2018

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zbMATH Keywords

boundary element method

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Black-Scholes

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barrier options

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greeks

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time-dependent parameters

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integral equations

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describes a project that uses

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MaRDI publication profile

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full work available at URL

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

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cites work

The Pricing of Options and Corporate Liabilities

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Statistical inference for time-inhomogeneous volatility models.

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Tracking volatility

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

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A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

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A boundary element approach to barrier option pricing in Black–Scholes framework

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Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps

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Pricing options with Green's functions when volatility, interest rate and barriers depend on time

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A simple approach for pricing barrier options with time-dependent parameters

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Q3102303

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A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate

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Q4863379

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Q5520962

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Q4086524

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Local time and the pricing of path-dependent options

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Numerical integration schemes for space-time hypersingular integrals in energetic Galerkin BEM

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Q4484762

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Tools for computational finance

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Finite element solution of diffusion problems with irregular data

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PDE methods for pricing barrier options

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Identifiers

zbMATH Open document ID

1393.65026

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DOI

10.1515/caim-2018-0004

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1642274

@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference for time-inhomogeneous volatility models.
+Normal rank
@@ Property / cites work @@
+Tracking volatility
@@ Property / cites work: Tracking volatility / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
+Normal rank
@@ Property / cites work @@
+Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
+Normal rank
@@ Property / cites work @@
+A boundary element approach to barrier option pricing in Black–Scholes framework
+Normal rank
@@ Property / cites work @@
+Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps
+Normal rank
@@ Property / cites work @@
+Pricing options with Green's functions when volatility, interest rate and barriers depend on time
+Normal rank
@@ Property / cites work @@
+A simple approach for pricing barrier options with time-dependent parameters
+Normal rank
@@ Property / cites work @@
+Q3102303
@@ Property / cites work: Q3102303 / rank @@
+Normal rank
@@ Property / cites work @@
+A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
+Normal rank
@@ Property / cites work @@
+Q4863379
@@ Property / cites work: Q4863379 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5520962
@@ Property / cites work: Q5520962 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+Local time and the pricing of path-dependent options
+Normal rank
@@ Property / cites work @@
+Numerical integration schemes for space-time hypersingular integrals in energetic Galerkin BEM
+Normal rank
@@ Property / cites work @@
+Q4484762
@@ Property / cites work: Q4484762 / rank @@
+Normal rank
@@ Property / cites work @@
+Tools for computational finance
@@ Property / cites work: Tools for computational finance / rank @@
+Normal rank
@@ Property / cites work @@
+Finite element solution of diffusion problems with irregular data
+Normal rank
@@ Property / cites work @@
+PDE methods for pricing barrier options
@@ Property / cites work: PDE methods for pricing barrier options / rank @@
+Normal rank