Barrier Option Pricing
Analysis of PDEs
2013-12-12 v1 Computational Finance
Abstract
We use Lie symmetry methods to price certain types of barrier options. Usually Lie symmetry methods cannot be used to solve the Black-Scholes equation for options because the function defining the maturity condition for an option is not smooth. However, for barrier options, this restriction can be accommodated and a symmetry analysis utilised to find new solutions.
Keywords
Cite
@article{arxiv.1312.3211,
title = {Barrier Option Pricing},
author = {A. H. Davison and T. Sidogi},
journal= {arXiv preprint arXiv:1312.3211},
year = {2013}
}
Comments
9 pages