37 research outputs found

    A Boundary Element Method applied to option pricing

    No full text

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

    No full text
    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

    On the energetic Galerkin boundary element method applied to interior wave propagation problems

    Get PDF
    We consider two-dimensional interior wave propagation problems with vanishing initial and mixed boundary conditions, reformulated as a system of two boundary integral equations with retarded potential. These latter are then set in a weak form, based on a natural energy identity satisfied by the solution of the differential problem, and discretized by the related energetic Galerkin boundary element method. Numerical results are presented and discussed