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

Journal of Mathematical Analysis and Applications

Volumn 323, Issue 2, 2006, Pages 1455-1464

  Lo, C F ^a   Hui, C H ^b  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b HONG KONG MONETARY AUTHORITY   (Hong Kong)

Author keywords

Constant elasticity of variance; Lie algebra; Options; Partial differential equation

Indexed keywords

EID: 33751114938     PISSN: 0022247X     EISSN: 10960813     Source Type: Journal    
DOI: 10.1016/j.jmaa.2005.11.068     Document Type: Article

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