Time-Dependent Barrier Options and Boundary Crossing Probabilities

Novikov, A; Frishling, V; Kordzakhia, N

Time-Dependent Barrier Options and Boundary Crossing Probabilities

Novikov, A

Frishling, V Kordzakhia, N

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Publication Type:: Journal Article
Citation:: Georgian Mathematical Journal, 2003, 10 (2), pp. 325 - 334
Issue Date:: 2003-01-01

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Frishling, V	en_US
dc.contributor.author	Kordzakhia, N	en_US
dc.date.issued	2003-01-01	en_US
dc.identifier.citation	Georgian Mathematical Journal, 2003, 10 (2), pp. 325 - 334	en_US
dc.identifier.issn	1072-947X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3445
dc.description.abstract	The problem of pricing of time-dependent barrier options is considered in the case when interest rate and volatility are given functions in Black-Scholes framework. The calculation of the fair price reduces to the calculation of non-linear boundary crossing probabilities for a standard Brownian motion. The proposed method is based on a piecewise-linear approximation for the boundary and repeated integration. The numerical example provided draws attention to the performance of suggested method in comparison to some alternatives. © 2003, Heldermann Verlag. All rights reserved.	en_US
dc.relation.ispartof	Georgian Mathematical Journal	en_US
dc.relation.isbasedon	10.1515/GMJ.2003.325	en_US
dc.title	Time-Dependent Barrier Options and Boundary Crossing Probabilities	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	10	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	150201 Finance	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	0101 Pure Mathematics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	10	en_US

Abstract:

The problem of pricing of time-dependent barrier options is considered in the case when interest rate and volatility are given functions in Black-Scholes framework. The calculation of the fair price reduces to the calculation of non-linear boundary crossing probabilities for a standard Brownian motion. The proposed method is based on a piecewise-linear approximation for the boundary and repeated integration. The numerical example provided draws attention to the performance of suggested method in comparison to some alternatives. © 2003, Heldermann Verlag. All rights reserved.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/3445