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

DOI10.1080/14697680601161480MaRDI QIDQ3498560zbMATH OpenOpenAlexFDO

Authors Paul Schneider, Kurt Hawlitschek, A. Buch, Gregor Dorfleitner

Publication date 15 May 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.ssoar.info/ssoar/handle/document/22098

zbMATH Keywords

(Double) barrier optionsAmerican optionsGreen's functionnumerical methodsoption pricingtime-dependent coefficients

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A continuity correction for discrete barrier options
• A Green's function for a convertible bond using the Vasicek model
• Approximation Greenscher Funktionen bei parabolischen Differentialgleichungen. (Approximation of Green's functions for parabolic differential equations)
• Greensche Funktionen für Randwertaufgaben partieller Differentialgleichungen vom parabolischen Typ
• scientific article; zbMATH DE number 1238161 (Why is no real title available?)
• Pricing Barrier Options with Time–Dependent Coefficients
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• Pricing Options With Curved Boundaries¹
• The use, misuse and abuse of mathematics in finance
• The valuation of American barrier options using the decomposition technique
• Valuing American options by simulation: a simple least-squares approach

Cited in

(11)

• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab^ codes)
• Design of green bonds by double-barrier options
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• A numerical method for pricing discrete double barrier option by Legendre multiwavelet
• Local time and the pricing of path-dependent options
• A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
• Flexing the default barrier
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• Construction of Green's functions for the Black-Scholes equation
• A Green's function-based iterative approach to the pricing of American options
• Existence and uniqueness results for a semilinear Black-Scholes type equation

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