Path Integral Method for Pricing Proportional Step Double-Barrier Option with Time Dependent Parameters

Autor:	Chen, Qi, Guo, Chao
Rok vydání:	2023
Předmět:	Quantitative Finance - Pricing of Securities Quantum Physics
Druh dokumentu:	Working Paper
Popis:	Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional double-barrier step (PDBS) options, the option price changing process is analogous to a particle moving in a finite symmetric square potential well. We have derived the pricing kernel of PDBS options with time dependent interest rate and volatility. Numerical results of option price as a function of underlying asset price are shown as well. Path integral method can be easily generalized to the pricing of PDBS options with curved boundaries. Comment: 18 pages, 3 figures, 1 table. arXiv admin note: substantial text overlap with arXiv:2209.12542
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2302.07631 Zobrazit plný text záznamu View this record from Arxiv