A simple approach for pricing barrier options with time-dependent parameters

Quantitative Finance

Volumn 3, Issue 2, 2003, Pages 98-107

  Lo, C F ^a   Lee, H C ^a   Hui, C H ^b,c  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b HONG KONG MONETARY AUTHORITY   (Hong Kong)

^c CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348156033     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1088/1469-7688/3/2/304     Document Type: Article

References (10)

1. Hui C H 1996 One-touch double barrier binary option values Appl. Financial Economics 6 343-6
2. Hui C H 1997 Time-dependent barrier option values J. Futures Markets 17 667-88
3. John F 1978 Partial Differential Equations 3rd edn (New York: Springer) ch 7
4. Kunitomo N and Ikeda M 1992 Pricing options with curved boundaries Math. Finance 2 275-98
5. Lo C F and Hui C H 2001 Valuation of financial derivatives with time-dependent parameters - Lie algebraic approach Quant. Finance 1 73-8
6. Merton R C 1973 Theory of rational option pricing Bell J. Econ. Manage. Sci. 4 141-83
7. Rich D R 1994 The mathematical foundations of barrier option-pricing theory Adv. Futures Opt. Res. 7 267-311
8. Roberts G O and Shortland C F 1994 The hazard rate tangent approximation for boundary hitting times Ann. Appl. Prob. 5 446-60
9. Roberts G O and Shortland C F 1997 Pricing barrier options with time-dependent coefficients Math. Finance 7 83-93
10. Rubinstein M and Reiner E 1991 Breaking down the barriers Risk 4 28-35