A boundary element approach to barrier option pricing in Black-Scholes framework (Q2804924)
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scientific article; zbMATH DE number 6577977
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| English | A boundary element approach to barrier option pricing in Black-Scholes framework |
scientific article; zbMATH DE number 6577977 |
Statements
A boundary element approach to barrier option pricing in Black–Scholes framework (English)
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6 May 2016
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boundary element method
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Black-Scholes equation
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barrier options
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Fokker-Planck equation
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numerical example
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pricing model
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stabilty
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inverse Fourier transform
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0.8436101078987122
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0.8289905190467834
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0.81235671043396
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0.7971946001052856
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0.7911514639854431
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