C.F. Lo, H.M. Tang, K.C. Ku, and C.H. Hui (PRC)
Options, constant elasticity of variance, partial differential equation, Lie algebra.
This paper presents a simple and efficient Lie-algebraic method for computing accurate estimates of barrier option prices in the CEV model environment with time-dependent model parameters. This new approach is also able to pro vide tight upper and lower bounds for the exact barrier op tion prices.
Important Links:
Go Back
