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ArticleLie-algebraic approach for pricing moving barrier options with time-dependent parameters

Chi‐Fai Lo2005

OA

Articlebronze2005

Lie-algebraic approach for pricing moving barrier options with time-dependent parameters

Chi‐Fai Lo · Cho‐Hoi Hui

22 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Differential Equations and Boundary Problems Fractional Differential Equations Solutions

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References

1976The valuation of options for alternative stochastic processes 1980The Constant Elasticity of Variance Model and Its Implications For Option Pricing 1978COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA 1990Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives 1998Valuation of Defaultable Bonds 2000CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS 2001Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

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2007Symmetry-based solution of a model for a combination of a risky investment and a riskless investment 2008Lie Theory: Applications to problems in Mathematical Finance and Economics 2010SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS

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2000CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERSarticle · 4 shared references 2001PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESSarticle · 4 shared references 1982The stochastic behavior of common stock variances Value, leverage and interest rate effectsarticle · 3 shared references 1987Option values under stochastic volatility: Theory and empirical estimatesarticle · 3 shared references 2006A Benchmark Approach to Quantitative Financebook · 3 shared references 1989Computing the Constant Elasticity of Variance Option Pricing Formulaarticle · 3 shared references

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Year2005

Typearticle

Published2005-12-29

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2005.11.068

openalex_workW2006217490

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