Generalized finite integration method with Volterra operator for pricing multi-asset barrier option

DOI10.1016/j.enganabound.2023.06.006zbMath1537.91357MaRDI QIDQ6539909

Y. Ma, C. N. Sam, Jeffrey M. H. Hon

Publication date: 15 May 2024

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

zbMATH Keywords

Volterra operatorbarrier optionCrank-Nicolsongeneralized finite integration method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20)

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