BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options
type: Item
instance of: scholarly article
title: BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options
author: A. Aimi
author: C. Guardasoni
publication date: 2024-06-11T00:00:00Z
Mathematics Subject Classification ID: 91-XX
Mathematics Subject Classification ID: 90-XX
zbMATH DE Number: 7863383
zbMATH Keywords: boundary element method
zbMATH Keywords: SABO
zbMATH Keywords: fundamental solution
zbMATH Keywords: arithmetic Asian option
zbMATH Keywords: barrier option
MaRDI profile type: Publication
cites work: Numerical pricing of geometric asian options with barriers
cites work: Collocation boundary element method for the pricing of geometric Asian options
cites work: Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
cites work: Double knock-out Asian barrier options which widen or contract as they approach maturity
cites work: A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
cites work: SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
cites work: The pricing of options and corporate liabilities
cites work: Prices and sensitivities of Asian options: A survey
cites work: Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
cites work: A lattice algorithm for pricing moving average barrier options
cites work: Q4086524
cites work: The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options
cites work: Q3021688
cites work: Wellposedness of the boundary value formulation of a fixed strike Asian option
cites work: A Precision Approximation of the Gamma Function
cites work: Step options.
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Small-\(t\) expansion for the Hartman-Watson distribution
cites work: Tools for computational finance.
cites work: Asian-barrier option pricing formulas of uncertain financial market
cites work: On some exponential functionals of Brownian motion
cites work: Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
published in: Computers & Mathematics with Applications
DOI: 10.1016/J.CAMWA.2024.05.002
description: scientific article; zbMATH DE number 7863383