Pricing options with Green's functions when volatility, interest rate and barriers depend on time

Quantitative Finance

Volumn 8, Issue 2, 2008, Pages 119-133

  Dorfleitner, Gregor ^a   Schneider, Paul ^a   Hawlitschek, Kurt ^b   Buch, Arne ^a  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

^b NONE   (Germany)

Author keywords

American options; Green's function; Numerical methods; Option pricing; (Double) barrier options; Time dependent coefficients

Indexed keywords

EID: 39749200028     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680601161480     Document Type: Article

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