| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 6924955 | Engineering Analysis with Boundary Elements | 2018 | 11 Pages |
Abstract
The Semi-Analytical method for pricing of Barrier Options (SABO) already applied in the context of European options is here extended to the evaluation of geometric Asian options with barriers. The validity of this approximation method, based on the use of collocation Boundary Element Method, is illustrated by numerical examples, where accuracy and stability of the presented approach are analyzed.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science Applications
Authors
A. Aimi, C. Guardasoni,