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Publication details
The Black-Scholes equation for barrier options
Authors | |
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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. |