Pricing options with Green's functions when volatility, interest rate and barriers depend on time (Q3498560)
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scientific article; zbMATH DE number 5275908
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| English | Pricing options with Green's functions when volatility, interest rate and barriers depend on time |
scientific article; zbMATH DE number 5275908 |
Statements
Pricing options with Green's functions when volatility, interest rate and barriers depend on time (English)
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15 May 2008
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Green's function
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time-dependent coefficients
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numerical methods
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option pricing
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(Double) barrier options
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American options
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0.7948334813117981
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0.7782600522041321
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0.7713707089424133
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