کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
758344 | 896422 | 2013 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Symmetry analysis of a model for the exercise of a barrier option
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
مهندسی مکانیک
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A barrier option takes into account the possibility of an unacceptable change in the price of the underlying stock. Such a change could carry considerable financial loss. We examine one model based upon the Black–Scholes–Merton Equation and determine the functional forms of the barrier function and rebate function which are consistent with a solution of the underlying evolution partial differential equation using the Lie Theory of Extended Groups. The solution is consistent with the possibility of no rebate and the barrier function is very similar to one adopted on an heuristic basis.
► Exercise for a barrier option.
► Lie symmetries.
► Closed-form solutions.
► Black–Scholes–Merton Equation with time-dependent coefficients.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 18, Issue 9, September 2013, Pages 2367–2373
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 18, Issue 9, September 2013, Pages 2367–2373
نویسندگان
J.G. O’Hara, C. Sophocleous, P.G.L. Leach,