Collocation Boundary Element Method for the pricing of Geometric Asian Options
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics,General Engineering,Analysis
Reference22 articles.
1. Guardasoni C. Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with matlab codes). Commun Appl Ind Math, submitted.
2. A boundary element approach to barrier option pricing in Black-Scholes framework;Guardasoni;Int J Comput Math,2016
3. Fast numerical pricing of barrier options under stochastic volatility and jumps;Guardasoni;SIAM J Appl Math,2016
4. A boundary element method to price time-dependent double barrier options;Ballestra;Appl Math Comput,2011
5. A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate;Ballestra;Appl Numer Math,2014
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