A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.

Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab codes) / Guardasoni, Chiara. - In: COMMUNICATIONS IN APPLIED AND INDUSTRIAL MATHEMATICS. - ISSN 2038-0909. - 9:1(2018), pp. 42-67. [10.1515/caim-2018-0004]

Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab codes)

Chiara Guardasoni
2018

Abstract

A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.
Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab codes) / Guardasoni, Chiara. - In: COMMUNICATIONS IN APPLIED AND INDUSTRIAL MATHEMATICS. - ISSN 2038-0909. - 9:1(2018), pp. 42-67. [10.1515/caim-2018-0004]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11381/2840373
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