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

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References

1976The valuation of options for alternative stochastic processes2,935 cited
1980The Constant Elasticity of Variance Model and Its Implications For Option Pricing280 cited
1978COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA227 cited
1990Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives133 cited
1998Valuation of Defaultable Bonds72 cited
2000CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS63 cited
2001Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach52 cited

Cited by

2007Symmetry-based solution of a model for a combination of a risky investment and a riskless investment20 cited
2008Lie Theory: Applications to problems in Mathematical Finance and Economics18 cited
2010SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS18 cited

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