Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach

By C. Lo, C. Hui. 2001

61 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/936a296c1f50c78de914f58630eaebca4a3e8763

How researchers see this paper

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1. C. Lo
2. H. C. Lee
3. C. Hui

Citations in the corpus

• A simple approach for pricing barrier options with time-dependent parameters (2003, background): “(2) It is not difficult to show that the solution P(x, t) is given by (Lo and Hui 2001) P(x, t) = exp[c3(t)] exp [ c1(t) ∂ ∂x ] exp [ c2(t) ∂2 ∂x2 ] P(x, 0), (3) where c1(t) = ∫ t 0 [ r(t ′) − d(t ′) − σ(t ′)2 2 ] dt ′ c2(t) = 12 ∫ t 0 σ(t ′)2 dt ′ c3(t) = − ∫ t 0 r(t ′) dt ′.”