The evaluation of barrier option prices under stochastic volatility

DOI10.1016/j.camwa.2012.03.103zbMath1268.91175OpenAlexW2039766938MaRDI QIDQ356102

Boda Kang, Gunter H. Meyer, Carl Chiarella

Publication date: 25 July 2013

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2012.03.103

zbMATH Keywords

free boundary problemstochastic volatilitymethod of linesbarrier optioncontinuously monitoreddiscretely monitored

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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