Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code) (Q2305853)

Summary: This paper aims to illustrate how SABO (Semi-Analytical method for Barrier Option pricing) is easily applicable for pricing floating strike Asian barrier options with a continuous geometric average. Recently, this method has been applied in the Black-Scholes framework to European vanilla barrier options with constant and time-dependent parameters or barriers and to geometric Asian barrier options with a fixed strike price. The greater efficiency of SABO with respect to classical finite difference methods is clearly evident in numerical simulations. For the first time, a user-friendly MATLAB\(^\circledR\) code is made available here.