Abstract
In this paper, we extend the SABO technique (Semi-Analytical method for Barrier Options), based on collocation Boundary Element Method (BEM), to the pricing of Barrier Options with payoff dependent on more than one asset. The efficiency and accuracy already revealed in the case of a single asset is confirmed by the presented numerical results.
Funder
Istituto Nazionale di Alta Matematica Francesco Severi
Subject
Geometry and Topology,Logic,Mathematical Physics,Algebra and Number Theory,Analysis
Cited by
3 articles.
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