Dorfleitner, Gregor; Schneider, Paul; Hawlitschek, Kurt; … - In: Quantitative Finance 8 (2008) 2, pp. 119-133
We derive the Green's function for the Black-Scholes partial differential equation with time-varying coefficients and time-dependent boundary conditions. We provide a thorough discussion of its implementation within a pricing algorithm that also accommodates American style options. Greeks can be...