A boundary element method to price time-dependent double barrier options
DOI10.1016/J.AMC.2011.09.050zbMATH Open1239.91158OpenAlexW1967799721MaRDI QIDQ426959FDOQ426959
Authors: Luca Vincenzo Ballestra, Graziella Pacelli 
Publication date: 13 June 2012
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.09.050
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barrier optionboundary element methodVolterra integral equationsdouble barriertime-dependent barrier
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Volterra integral equations (45D05)
Cites Work
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- An equilibrium characterization of the term structure
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- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Finite element solution of diffusion problems with irregular data
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- PDE methods for pricing barrier options
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- Pricing Options With Curved Boundaries1
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- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
Cited In (21)
- 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 approach to barrier option pricing in Black-Scholes framework
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- Valuing double barrier options with time-dependent parameters by Fourier series expansion
- Title not available (Why is that?)
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
- Pricing options with Green's functions when volatility, interest rate and barriers depend on time
- PDE methods for pricing barrier options
- Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code)
- Title not available (Why is that?)
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
- Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
- Numerical method for discrete double barrier option pricing with time-dependent parameters
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