The Black-Scholes equation for barrier options
| Authors | |
|---|---|
| Year of publication | 2011 |
| Type | Article in Proceedings |
| Conference | 7. konference o matematice a fyzice na vysokých školách technických s mezinárodní účastí : Sborník příspěvků část 1 - matematika |
| MU Faculty or unit | |
| Citation | |
| Field | General mathematics |
| Keywords | Itô calculus; Black-Scholes equation; Barrier options |
| Description | A model for pricing barrier options, whose price satisfies the Black-Scholes equation with special boundary conditions, is considered. An explicit pricing formula for such options is computed. A derivation of the Black-Scholes partial differential equation, using Itô’s lemma, is also presented. |