57 research outputs found

    A Boundary Element Method applied to option pricing

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

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    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

    Numerical results for the wave propagation problem with space-time boundary element method

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    The aim of the present contribution is the analysis of one-dimensional wave propagation problems, rewritten as BIEs directly in space-time domain, thus avoiding the use of the Laplace transform and of its inversion: the transformation back to time domain employs particular procedure corresponding to a linear multi-step method for ordinary differential equations [Becache, 1993, Lubich, 1988a, Lubich, 1988b, Bamberger and Duong, 1986a]. Some different approximation techniques will be used, analyzing and comparing the numerical properties of the derived linear systems: the first comes from a classical weak formulation of the corresponding BIE, the second from a new energetic weak formulation which has a more robust theoretical background. An alternative weak formulation of the BIEs is the one presented in [Bamberger and Duong, 1986a], [Bamberger and Duong, 1986b], which is based on the Laplace-Fourier transform of the differential problem and its inversion
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