A boundary element method to price time-dependent double barrier options

DOI10.1016/j.amc.2011.09.050zbMath1239.91158MaRDI QIDQ426959

Graziella Pacelli, Luca Vincenzo Ballestra

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

zbMATH Keywords

boundary element method; Volterra integral equations; barrier option; double barrier; time-dependent barrier

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

45D05: Volterra integral equations

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