Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
DOI10.1515/CAIM-2018-0004zbMath1393.65026OpenAlexW2799288191MaRDI QIDQ1642274
Publication date: 20 June 2018
Published in: Communications in Applied and Industrial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/caim-2018-0004
greeksboundary element methodintegral equationsBlack-Scholesbarrier optionstime-dependent parameters
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38)
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