A boundary element approach to barrier option pricing in Black-Scholes framework
DOI10.1080/00207160.2015.1020304zbMATH Open1338.65226OpenAlexW2035532256MaRDI QIDQ2804924FDOQ2804924
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
Recommendations
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- A boundary element method to price time-dependent double barrier options
- Fast numerical pricing of barrier options under stochastic volatility and jumps
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- Collocation boundary element method for the pricing of geometric Asian options
Fokker-Planck equationnumerical exampleboundary element methodBlack-Scholes equationpricing modelinverse Fourier transformstabiltybarrier options
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)
Cites Work
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- PDE methods for pricing barrier options
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- Neumann exterior wave propagation problems: computational aspects of 3D energetic Galerkin BEM
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
- A boundary element method to price time-dependent double barrier options
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- A generalization of BEM by Fourier transform
Cited In (12)
- Collocation boundary element method for the pricing of geometric Asian options
- Fast numerical pricing of barrier options under stochastic volatility and jumps
- A boundary element method to price time-dependent double barrier options
- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
- Barrier option pricing: a hybrid method approach
- Editorial: Special issue on computational statistics
- Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
- Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code)
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- A fast numerical method to price American options under the Bates model
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