DocumentCode
2718318
Title
Pricing Barrier Options with Time-Dependent Parameters and Curved Boundaries
Author
Yang, Ruicheng ; Qin, Xuezhi ; Xia, Bing
Author_Institution
Sch. of Math. & Inf., Ludong Univ., Yantai
Volume
3
fYear
2008
fDate
3-4 Aug. 2008
Firstpage
299
Lastpage
303
Abstract
The major purpose of this paper is to discuss the valuation of barrier option with time-dependent parameters: risk-free rate, dividend yield, instantaneous volatility and curved boundaries. Applying the non-uniform space grid approach, we extend the Crank-Nicolson method, and use the generalized method to solve the numerical experiments for our barrier option problem. Furthermore, corresponding to explicit time dependent parameters and curved boundary function, we give some numerical examples.
Keywords
pricing; Crank-Nicolson method; barrier option problem; curved boundaries; curved boundary function; pricing barrier options; time-dependent parameters; Communication system control; Cost accounting; Mathematics; Military communication; Military computing; Military equipment; Pricing; Risk management; Stochastic processes; Technology management; barrier option; curved boundary; non-uniform space grid; time dependent parameters;
fLanguage
English
Publisher
ieee
Conference_Titel
Computing, Communication, Control, and Management, 2008. CCCM '08. ISECS International Colloquium on
Conference_Location
Guangzhou
Print_ISBN
978-0-7695-3290-5
Type
conf
DOI
10.1109/CCCM.2008.146
Filename
4609846
Link To Document