Unstructured meshing for two asset barrier options

DOI10.1080/135048600450284zbMath1013.91044OpenAlexW2123463037MaRDI QIDQ4541586

D. M. Pooley, R. Bruce Simpson, Kenneth Vetzal, Peter A. I. Forsyth

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

finite elementbarrier optionsunstructured meshing

Mathematics Subject Classification ID

Related Items

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 ⋮ A note on the distribution of multivariate Brownian extrema

Uses Software

• symrcm

Cites Work

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