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

IF 0.3 Q4 MATHEMATICS

Communications in Applied and Industrial Mathematics Pub Date : 2018-03-24 DOI:10.1515/caim-2018-0004

C. Guardasoni

引用次数: 7

Abstract

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.

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参数时变条件下障碍期权定价的半解析方法(附Matlab®代码)

摘要提出了一种障碍期权定价的半解析方法。该方法基于边界积分方法的基础，本文对边界积分方法进行了改造，以应用于具有时变利率、波动率和股息收益率的Black-Scholes模型中的障碍期权定价。通过数值算例和比较说明了数值方法的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Communications in Applied and Industrial Mathematics Mathematics-Applied Mathematics

CiteScore

1.30

自引率

0.00%

发文量

审稿时长

16 weeks

期刊介绍： Communications in Applied and Industrial Mathematics (CAIM) is one of the official journals of the Italian Society for Applied and Industrial Mathematics (SIMAI). Providing immediate open access to original, unpublished high quality contributions, CAIM is devoted to timely report on ongoing original research work, new interdisciplinary subjects, and new developments. The journal focuses on the applications of mathematics to the solution of problems in industry, technology, environment, cultural heritage, and natural sciences, with a special emphasis on new and interesting mathematical ideas relevant to these fields of application . Encouraging novel cross-disciplinary approaches to mathematical research, CAIM aims to provide an ideal platform for scientists who cooperate in different fields including pure and applied mathematics, computer science, engineering, physics, chemistry, biology, medicine and to link scientist with professionals active in industry, research centres, academia or in the public sector. Coverage includes research articles describing new analytical or numerical methods, descriptions of modelling approaches, simulations for more accurate predictions or experimental observations of complex phenomena, verification/validation of numerical and experimental methods; invited or submitted reviews and perspectives concerning mathematical techniques in relation to applications, and and fields in which new problems have arisen for which mathematical models and techniques are not yet available.