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

DOI10.1016/j.amc.2011.09.050zbMath1239.91158OpenAlexW1967799721MaRDI 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 methodVolterra integral equationsbarrier optiondouble barriertime-dependent barrier

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05)

Related Items (8)

Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps ⋮ Collocation boundary element method for the pricing of geometric Asian options ⋮ Pricing European double barrier option with moving barriers under a fractional Black-Scholes model ⋮ A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion ⋮ 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 ⋮ A boundary element approach to barrier option pricing in Black–Scholes framework ⋮ Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Finite element solution of diffusion problems with irregular data
• Boundary element methods for potential problems
• Fast accurate binomial pricing
• PDE methods for pricing barrier options
• A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: A boundary element method to price time-dependent double barrier options