Lie-algebraic approach for pricing moving barrier options with time-dependent parameters

DOI10.1016/j.jmaa.2005.11.068zbMath1148.91020MaRDI QIDQ855464

Cho-Hoi Hui, Chi-Fai Lo

Publication date: 7 December 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.11.068

zbMATH Keywords

options; Lie algebra; partial differential equation; constant elasticity of variance

Mathematics Subject Classification ID

Related Items

Solving a nonlinear PDE that prices real options using utility based pricing methods, Symmetry analysis of the option pricing model with dividend yield from financial markets, Lie theory: Applications to problems in mathematical finance and economics, Valuing time-dependent CEV barrier options, Symmetry-based solution of a model for a combination of a risky investment and a riskless investment, Asymptotics of Barrier Option Pricing Under the CEV Process, SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS

Cites Work

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• Valuation model of defaultable bond values in emerging markets
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
• Lie Algebraic Solution of Linear Differential Equations