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arXiv · 1312.3211

Barrier Option Pricing

A. H. Davison·T. Sidogi
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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.

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A. H. Davison, T. Sidogi. 2013-12-11. Barrier Option Pricing. https://arxiv.org/abs/1312.3211

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