A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
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Publication:2448388
DOI10.1016/j.apnum.2013.10.005zbMath1285.91142MaRDI 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
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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