Year: 2013
Type: preprint
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.
Authors: Davison, A. H., Sidogi, T.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1766923140