A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate

DOI10.1016/J.APNUM.2013.10.005zbMath1285.91142OpenAlexW3121533626MaRDI QIDQ2448388

Graziella Pacelli, Luca Vincenzo Ballestra

Publication date: 30 April 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.10.005

zbMATH Keywords

boundary element methodVolterra integral equationbarrier optiontime-dependent barrier

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) ⋮ Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps ⋮ Collocation boundary element method for the pricing of geometric Asian options ⋮ A boundary element method to price time-dependent double barrier options ⋮ A fast numerical method to price American options under the Bates model ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion ⋮ A boundary element approach to barrier option pricing in Black–Scholes framework

Cites Work

• Option pricing in fractional Brownian markets
• Boundary element methods for potential problems
• Fast accurate binomial pricing
• A Green's function for a convertible bond using the Vasicek model
• An equilibrium characterization of the term structure
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