Pricing of double barrier options from a symmetry group approach
| dc.contributor.author | Sidogi, Thendo | |
| dc.date.accessioned | 2014-07-02T09:39:26Z | |
| dc.date.available | 2014-07-02T09:39:26Z | |
| dc.date.issued | 2014-07-02 | |
| dc.description.abstract | In this research report we explore some applications of symmetry methods for boundary value problems in the pricing of barrier options. Various nancial instruments satisfy the Black-Scholes partial di erential equation (pde) but with di erent domain, maturity date and boundary conditions. We nd Lie symmetries that leave the Black-Scholes (pde) invariant and will guarantee that the relevant solutions satisfy the boundary conditions. Using these sym- metries, we can thus generate group-invariant solutions to the boundary value problem. | en_ZA |
| dc.identifier.uri | http://hdl.handle.net10539/14847 | |
| dc.language.iso | en | en_ZA |
| dc.subject.lcsh | Symmetry groups. | |
| dc.subject.lcsh | Differential equations, Partial. | |
| dc.subject.lcsh | Boundary value problems. | |
| dc.title | Pricing of double barrier options from a symmetry group approach | en_ZA |
| dc.type | Thesis | en_ZA |