A Boundary Element Formulation for the Pricing of Barrier Options
نویسندگان
چکیده
منابع مشابه
Pricing Double-Barrier Options Using the Boundary Element Method
A numerical method to price double-barrier options with moving barriers is proposed. Using the so-called Boundary Element Method, an integral representation of the double-barrier option price is derived in which two of the integrand functions are not given explicitly but must be obtained solving a system of Volterra integral equations of the first kind. This system of equations is affected by s...
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In this paper two different methods are presented to approximate the solution of the fractional Black-Scholes equation for valuation of barrier option. Also, the two schemes need less computational work in comparison with the traditional methods. In this work, we propose a new generalization of the two-dimensional differential transform method and decomposition method that will extend the appli...
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A barrier option is a derivative contract that is activated or extinguished when the price of the underlying asset crosses a certain level. Most models assume continuous monitoring of the barrier. However, in practice, most, if not all, of the barrier options traded are discretely monitored. Unlike their continuous counterparts, there is essentially no closed form solution available, and even n...
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ژورنال
عنوان ژورنال: Open Journal of Modelling and Simulation
سال: 2013
ISSN: 2327-4018,2327-4026
DOI: 10.4236/ojmsi.2013.13006