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International Journal of Computer Mathematics Volume 93, 2016 - Issue 4: Computational Statistics
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A boundary element approach to barrier option pricing in Black–Scholes framework

C. GuardasoniDepartment of Economics, University of Parma, Via J.F. Kennedy 6, 43125Parma, ItalyView further author information
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S. SanfeliciDepartment of Economics, University of Parma, Via J.F. Kennedy 6, 43125Parma, ItalyCorrespondence[email protected]
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Pages 696-722 | Received 02 Oct 2013, Accepted 30 Jan 2015, Published online: 11 Apr 2015

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Ana Colubi, Cristian Gatu & Erricos John Kontoghiorghes. (2016) Special issue on computational statistics. International Journal of Computer Mathematics 93:4, pages 627-627.
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Articles from other publishers (10)

Y. Ma, C.N. Sam & Jeffrey M.H. Hon. (2023) Generalized finite integration method with Volterra Operator for pricing multi-asset barrier option. Engineering Analysis with Boundary Elements 155, pages 850-860.
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Marianito R. Rodrigo. (2020) Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach. Mathematics 8:8, pages 1271.
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Chiara Guardasoni, Marianito R Rodrigo & Simona Sanfelici. (2020) A Mellin transform approach to barrier option pricing. IMA Journal of Management Mathematics 31:1, pages 49-67.
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A. Aimi, L. Diazzi & C. Guardasoni. Integral approach to Asian barrier option pricing. Integral approach to Asian barrier option pricing.
Alessandra Aimi, Lorenzo Diazzi & Chiara Guardasoni. (2018) Numerical pricing of geometric asian options with barriers. Mathematical Methods in the Applied Sciences 41:17, pages 7510-7529.
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A. Aimi & C. Guardasoni. (2018) Collocation Boundary Element Method for the pricing of Geometric Asian Options. Engineering Analysis with Boundary Elements 92, pages 90-100.
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Alessandra Aimi, Lorenzo Diazzi & Chiara Guardasoni. (2018) Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code). Axioms 7:2, pages 40.
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C. Guardasoni. (2018) Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab ® codes) . Communications in Applied and Industrial Mathematics 9:1, pages 42-67.
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Luca Vincenzo Ballestra & Liliana Cecere. (2016) A fast numerical method to price American options under the Bates model. Computers & Mathematics with Applications 72:5, pages 1305-1319.
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C. Guardasoni & S. Sanfelici. (2016) Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps. SIAM Journal on Applied Mathematics 76:1, pages 27-57.
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