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

DOI10.1088/1469-7688/3/2/304MaRDI QIDQ4647247zbMATH OpenOpenAlexFDO

Authors

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/3/2/304

zbMATH Keywords

pricing barrier optionstime-dependent parameters

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Partial differential equations. 3rd ed
• Pricing Barrier Options with Time–Dependent Coefficients
• Pricing Options With Curved Boundaries¹
• The hazard rate tangent approximation for boundary hitting times
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

Cited in

(23)

• Valuing time-dependent CEV barrier options
• Pricing exotic options in a regime switching economy: a Fourier transform method
• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab^ codes)
• Pricing down-and-out power options with exponentially curved barrier
• An explicit analytic formula for pricing barrier options with regime switching
• Pricing discretely-monitored double barrier options with small probabilities of execution
• A Monte-Carlo based approach for pricing credit default swaps with regime switching
• Computing the first passage time density of a time-dependent Ornstein-Uhlenbeck process to a moving boundary
• Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
• Valuing double barrier options with time-dependent parameters by Fourier series expansion
• Pricing Barrier Options with Time–Dependent Coefficients
• scientific article; zbMATH DE number 2062298 (Why is no real title available?)
• scientific article; zbMATH DE number 1390103 (Why is no real title available?)
• Barrier option pricing when parameters dependent on stock price
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Pricing double-barrier option with processes depending on various states of the economy
• MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
• An analytical approximation formula for the pricing of credit default swaps with regime switching
• Compound options with time-dependent parameters
• Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
• Quantum simulation for time-dependent Hamiltonians -- with applications to non-autonomous ordinary and partial differential equations
• Barrier option pricing and hedging model under stochastic conditions
• An actuarial approach to pricing barrier options

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