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

DOI10.1016/J.JMAA.2005.11.068zbMATH Open1148.91020OpenAlexW3121534973MaRDI QIDQ855464FDOQ855464

Authors: Chi-Fai Lo, Cho-Hoi Hui 

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

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zbMATH Keywords

optionsLie algebrapartial differential equationconstant elasticity of variance

Mathematics Subject Classification ID

Cites Work

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

Cited In (19)

• Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
• Solving a nonlinear PDE that prices real options using utility based pricing methods
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Lie theory to value financial derivatives with time dependent parameters
• Asymptotics of barrier option pricing under the CEV process
• Lie theory: Applications to problems in mathematical finance and economics
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
• Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
• Pricing multi-asset financial derivatives with time-dependent parameters -- Lie algebraic approach
• Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
• Symmetry analysis of the option pricing model with dividend yield from financial markets
• Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
• Lie symmetry approach to the CEV model
• OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
• Valuing time-dependent CEV barrier options
• Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
• Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
• SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
• Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment

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