Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff

DOI10.1007/s10203-004-0046-1zbMath1106.91035OpenAlexW2037150270MaRDI QIDQ1770204

Simona Sanfelici

Publication date: 11 April 2005

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-004-0046-1

zbMATH Keywords

pricinginfinite element methodEuropean barrier optionsoptions with discontinuous payoff

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical solutions to equations with linear operators (65J10)

Related Items

Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ Stock loan with automatic termination clause, cap and margin ⋮ Numerical methods for Lévy processes ⋮ Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods ⋮ A boundary element approach to barrier option pricing in Black–Scholes framework

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