Pricing Barriers on Underlyings with Time-Dependent Parameters

14 Pages Posted: 30 Aug 2012

Date Written: March 7, 2005

Abstract

The purpose of this note is to explain the technique and the results obtained by C.F.Lo et al. in their papers on the pricing of barriers on underlyings whose evolution is given by the Black-Scholes model with time-dependent parameters, with formulae that cover (almost) fully the profusion of barrier options traded on the market.

Keywords: option pricing, barrier options, Black-Scholes, partial differential equations, diffusion equation, boundary problems, FX derivatives, credit derivatives

Suggested Citation

Rapisarda, Francesco, Pricing Barriers on Underlyings with Time-Dependent Parameters (March 7, 2005). Available at SSRN: https://ssrn.com/abstract=2138100 or http://dx.doi.org/10.2139/ssrn.2138100

Francesco Rapisarda (Contact Author)

Bloomberg L.P. ( email )

39 Finsbury Square
London, EC2A 1HD
United Kingdom

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