{
  "id": "1312.3211",
  "version": "v1",
  "published": "2013-12-11T15:33:33.000Z",
  "updated": "2013-12-11T15:33:33.000Z",
  "title": "Barrier Option Pricing",
  "authors": [
    "A. H. Davison",
    "T. Sidogi"
  ],
  "comment": "9 pages",
  "categories": [
    "math.AP",
    "q-fin.CP"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-12-11T15:33:33.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "35A30",
      "58J70",
      "58J35",
      "76M60",
      "91B25"
    ],
    "keywords": [
      "barrier option pricing",
      "usually lie symmetry methods",
      "symmetry analysis",
      "maturity condition",
      "black-scholes equation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 9,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1312.3211D"
    }
  }
}