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

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

Communications in Applied and Industrial Mathematics
Volume 9 (2018): Issue 1 (February 2018)
By: C. Guardasoni  
Open Access
|Mar 2018

Authors

C. Guardasoni

chiara.guardasoni@unipr.it

Department of Mathematics, Physics and Computer Science, University of Parma,, Parma, Italy
DOI: https://doi.org/10.1515/caim-2018-0004 | Journal eISSN: 2038-0909
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Language: English
Page range: 42 - 67
Submitted on: Jan 12, 2017
Accepted on: Feb 2, 2018
Published on: Mar 24, 2018
Published by: Italian Society for Applied and Industrial Mathemathics
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Keywords:
Boundary Element Method,
Black-Scholes,
Barrier Options,
Greeks,
Time-Dependent Parameters,
Integral Equations
Related subjects:
Mathematics,
Numerical and computational mathematics,
Applied mathematics

© 2018 C. Guardasoni, published by Italian Society for Applied and Industrial Mathemathics
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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