Unstructured meshing for two asset barrier options

DOI10.1080/135048600450284MaRDI QIDQ4541586zbMATH OpenOpenAlexFDO

Authors D. M. Pooley, R. Bruce Simpson, P. A. Forsyth, K. R. Vetzal

Publication date 5 September 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/135048600450284

zbMATH Keywords

barrier optionsfinite elementunstructured meshing

Mathematics Subject Classification ID

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Cites work

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• scientific article; zbMATH DE number 3816913 (Why is no real title available?)
• Mesh relaxation: A new technique for improving triangulations
• Ordering Methods for Preconditioned Conjugate Gradient Methods Applied to Unstructured Grid Problems
• Penalty methods for American options with stochastic volatility
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• The three R's of engineering analysis and error estimation and adaptivity
• Towards a cost-effective ILU preconditioner with high level fill
• Validation of a posteriori error estimators by numerical approach

Cited in

(4)

• A note on the distribution of multivariate Brownian extrema
• Closed-form pricing of two-asset barrier options with stochastic covariance
• Two asset-barrier option under stochastic volatility
• Two-factor convertible bonds valuation using the method of characteristics/finite elements

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Uses Software

• symrcm

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