{"title":"参数时变条件下障碍期权定价的半解析方法(附Matlab®代码)","authors":"C. Guardasoni","doi":"10.1515/caim-2018-0004","DOIUrl":null,"url":null,"abstract":"Abstract A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.","PeriodicalId":37903,"journal":{"name":"Communications in Applied and Industrial Mathematics","volume":"9 1","pages":"42 - 67"},"PeriodicalIF":0.3000,"publicationDate":"2018-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab® codes)\",\"authors\":\"C. Guardasoni\",\"doi\":\"10.1515/caim-2018-0004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.\",\"PeriodicalId\":37903,\"journal\":{\"name\":\"Communications in Applied and Industrial Mathematics\",\"volume\":\"9 1\",\"pages\":\"42 - 67\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2018-03-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Communications in Applied and Industrial Mathematics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/caim-2018-0004\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"MATHEMATICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications in Applied and Industrial Mathematics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/caim-2018-0004","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS","Score":null,"Total":0}
Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab® codes)
Abstract A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.
期刊介绍：
Communications in Applied and Industrial Mathematics (CAIM) is one of the official journals of the Italian Society for Applied and Industrial Mathematics (SIMAI). Providing immediate open access to original, unpublished high quality contributions, CAIM is devoted to timely report on ongoing original research work, new interdisciplinary subjects, and new developments. The journal focuses on the applications of mathematics to the solution of problems in industry, technology, environment, cultural heritage, and natural sciences, with a special emphasis on new and interesting mathematical ideas relevant to these fields of application . Encouraging novel cross-disciplinary approaches to mathematical research, CAIM aims to provide an ideal platform for scientists who cooperate in different fields including pure and applied mathematics, computer science, engineering, physics, chemistry, biology, medicine and to link scientist with professionals active in industry, research centres, academia or in the public sector. Coverage includes research articles describing new analytical or numerical methods, descriptions of modelling approaches, simulations for more accurate predictions or experimental observations of complex phenomena, verification/validation of numerical and experimental methods; invited or submitted reviews and perspectives concerning mathematical techniques in relation to applications, and and fields in which new problems have arisen for which mathematical models and techniques are not yet available.
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