Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab® Code)

Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab® Code)

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...

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Veröffentlicht in:Axioms 2021-12, Vol.10 (4), p.301
Hauptverfasser: Aimi, Alessandra, Guardasoni, Chiara
Format: Artikel
Sprache:eng
Schlagworte:
barrier options
basket options
Boundary element method
Collocation
Expected values
Integral equations
multi-asset options
Partial differential equations
Pricing
Put & call options
Securities prices
spread options
Variables
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Beschreibung
Zusammenfassung: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.
ISSN:2075-1680
2075-1680
DOI:10.3390/axioms10040301