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arXiv:1312.3211 [math.AP]AbstractReferencesReviewsResources

Barrier Option Pricing

A. H. Davison, T. Sidogi

Published 2013-12-11Version 1

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.

Comments: 9 pages
Categories: math.AP, q-fin.CP
Subjects: 35A30, 58J70, 58J35, 76M60, 91B25
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