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

Axioms

Alessandra Aimi¹  Chiara Guardasoni¹ 

[1] Department of Mathematical, Physical and Computer Sciences, Parco Area delle Scienze, 53/A, 43126 Parma, Italy;

关键词: boundary element method;    barrier options;    multi-asset options;    basket options;    spread options;   

DOI  :  10.3390/axioms10040301

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown