Pricing Options with Green's Functions when Volatility, Interest Rate and Barriers Depend on Time

Dorfleitner, Gregor and Schneider, Paul and Hawlitschek, Kurt and Buch, Arne (2008) Pricing Options with Green's Functions when Volatility, Interest Rate and Barriers Depend on Time. Quantitative Finance 8 (2), pp. 119-133.

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Item Type:Article
Institutions: Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Interdisciplinary subject network:Immobilien- und Kapitalmärkte, Immobilien- und Kapitalmärkte
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Unknown
Owner:Gregor Dorfleitner
Deposited On:18 Jun 2008 11:55
Last Modified:19 Jul 2010 14:33
Item ID:3802
Owner Only: item control page