Volltext herunterladen
(610.3 KB)
Zitationshinweis
Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-220985
Export für Ihre Literaturverwaltung
Pricing Options with Green's Functions when Volatility, Interest Rate, and Barriers Depend on Time
[Zeitschriftenartikel]
Abstract We derive the Green's function for the Black/Scholes partial differential equation with time-varying coefficients and time-dependent boundary conditions. We provide a thorough discussion of its implementation within a pricing algorithm that also accommodates American style options. Greeks can be com... mehr
We derive the Green's function for the Black/Scholes partial differential equation with time-varying coefficients and time-dependent boundary conditions. We provide a thorough discussion of its implementation within a pricing algorithm that also accommodates American style options. Greeks can be computed as derivatives of the Green's function. Generic handling of arbitrary time-dependent boundary conditions suggests our approach to be used with the pricing of (American) barrier options, although options without barriers can be priced equally well. Numerical results indicate that knowledge of the structure of the Green's
function together with the well developed tools of numerical integration make our approach fast and numerically stable.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Methode
Theorieanwendung
Freie Schlagwörter
Green's function; Time-dependent coefficients; Numerical methods; Option pricing; (Double) barrier options; American options
Sprache Dokument
Englisch
Publikationsjahr
2008
Seitenangabe
S. 119-133
Zeitschriftentitel
Quantitative Finance, 8 (2008) 2
DOI
https://doi.org/10.1080/14697680601161480
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)