Pricing options with Green's functions when volatility, interest rate and barriers depend on time
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680601161480
Reference23 articles.
1. Universal option valuation using quadrature methods
2. Maximum Likelihood Estimation of Latent Affine Processes
3. Corrections and additions to ‘a nonlinear equilibrium model of the term structure of interest rates’
4. A Continuity Correction for Discrete Barrier Options
5. PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
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1. Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach;Mathematics;2020-08-03
2. A Mellin transform approach to barrier option pricing;IMA Journal of Management Mathematics;2018-12-20
3. Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab® codes);Communications in Applied and Industrial Mathematics;2018-03-01
4. Barrier option pricing under the 2-hypergeometric stochastic volatility model;Journal of Computational and Applied Mathematics;2018-01
5. A numerical method for pricing discrete double barrier option by Legendre multiwavelet;Journal of Computational and Applied Mathematics;2018-01
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