A boundary element approach to barrier option pricing in Black-Scholes framework

DOI10.1080/00207160.2015.1020304MaRDI QIDQ2804924zbMATH OpenOpenAlexFDO

Authors Simona Sanfelici, C. Guardasoni

Publication date 6 May 2016

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2015.1020304

zbMATH Keywords

Fokker-Planck equationnumerical exampleboundary element methodBlack-Scholes equationpricing modelinverse Fourier transformstabiltybarrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fokker-Planck equations (35Q84) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38)

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Cites work

• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 887583 (Why is no real title available?)
• A boundary element method to price time-dependent double barrier options
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A generalization of BEM by Fourier transform
• A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
• Algorithm 655
• Finite element solution of diffusion problems with irregular data
• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
• Heritage and early history of the boundary element method
• Neumann exterior wave propagation problems: computational aspects of 3D energetic Galerkin BEM
• Numerical integration of functions with boundary singularities
• PDE methods for pricing barrier options
• Stability and error estimates for Filon-Clenshaw-Curtis rules for highly oscillatory integrals

Cited in

(12)

• Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
• Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code)
• A boundary element method to price time-dependent double barrier options
• Collocation boundary element method for the pricing of geometric Asian options
• Fast numerical pricing of barrier options under stochastic volatility and jumps
• Barrier option pricing: a hybrid method approach
• Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
• Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
• Editorial: Special issue on computational statistics
• A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
• A fast numerical method to price American options under the Bates model
• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)

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