Barrier Option Pricing

A. H. Davison and T. Sidogi

Papers from arXiv.org

Abstract: We use Lie symmetry methods to price certain types of barrier options. Usually Lie symmetry methods cannot be used to solve the Black-Scholes equation for options because the function defining the maturity condition for an option is not smooth. However, for barrier options, this restriction can be accommodated and a symmetry analysis utilised to find new solutions.

Date: 2013-12
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