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

DOI10.1080/00207160.2015.1020304zbMath1338.65226OpenAlexW2035532256MaRDI QIDQ2804924

Simona Sanfelici, Chiara 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

numerical exampleFokker-Planck equationboundary element methodinverse Fourier transformBlack-Scholes equationpricing modelstabiltybarrier options

Mathematics Subject Classification ID

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

Related Items (6)

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 fast numerical method to price American options under the Bates model ⋮ Special issue on computational statistics ⋮ Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code)

Cites Work

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