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

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

Zitat

@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",

}

TY - JOUR

T1 - Pricing Options with Green's Functions when Volatility, Interest Rate and Barriers Depend on Time

AU - Dorfleitner, Gregor

AU - Schneider, Paul

AU - Hawlitschek, Kurt

AU - Buch, Arne

PY - 2008/3/1

Y1 - 2008/3/1

M3 - Originalbeitrag in Fachzeitschrift

SN - 1469-7688

VL - 8

SP - 119

EP - 133

JO - Quantitative Finance

JF - Quantitative Finance

IS - 2

ER -