Pricing Options with Green's Functions when Volatility, Interest Rate and Barriers Depend on Time

Gregor Dorfleitner, Paul Schneider, Kurt Hawlitschek, Arne Buch

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

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@article{520cfc1986074693b982dbda46e90d44,

title = "Pricing Options with Green's Functions when Volatility, Interest Rate and Barriers Depend on Time",

author = "Gregor Dorfleitner and Paul Schneider and Kurt Hawlitschek and Arne Buch",

year = "2008",

month = mar,

day = "1",

language = "Deutsch ({\"O}sterreich)",

volume = "8",

pages = "119 -- 133",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor and Francis Ltd.",

number = "2",

}