Pricing and hedging barrier options

DOI10.1002/ASMB.2316MaRDI QIDQ5374586zbMATHOpenAlexFDO

Authors Estevão Jun. Rosalino, Allan Jonathan da Silva, J. Baczynski, Dorival Leão

Publication date 14 September 2018

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2316

zbMATH Keywords

hedgingbarrier optionfinite-difference methodrisk-neutral measureno-arbitrage pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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