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Applied Mathematical Finance Volume 7, 2000 - Issue 1
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Original Articles

Unstructured meshing for two asset barrier options

D. M. Pooley University of Waterloo
,
P. A. Forsyth University of Waterloo
,
K. R. Vetzal University of Waterloo
&
R. B. Simpson University of Waterloo
Pages 33-60 | Published online: 14 Oct 2010

Citations (15)

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Read on this site (2)

Barbara Goetz, Marcos Escobar & Rudi Zagst. (2017) Two asset-barrier option under stochastic volatility. Applied Mathematical Finance 24:6, pages 520-546.
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Barbara Götz, Marcos Escobar & Rudi Zagst. (2014) Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance. Applied Mathematical Finance 21:4, pages 363-397.
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Articles from other publishers (13)

Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 353 387 .
Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 307 351 .
Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 259 305 .
Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 179 257 .
Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 125 178 .
Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 83 123 .
Rüdiger U. SeydelRüdiger U. Seydel. 2017. Tools for Computational Finance. Tools for Computational Finance 1 82 .
Marcos Escobar & Sven Panz. (2016) A Note on the Impact of Parameter Uncertainty on Barrier Derivatives. Risks 4:4, pages 35.
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Kei TAKAHASHI & Tomoya HORIUCHI. (2015) Endogenous Determination of Element Length on Financial Option Pricing with the Finite Element Method. International Journal of Japan Association for Management Systems 7:1, pages 1-10.
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Marcos Escobar & Julio Hernandez. (2014) A Note on the Distribution of Multivariate Brownian Extrema. International Journal of Stochastic Analysis 2014, pages 1-6.
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. 2012. Equity Hybrid Derivatives. Equity Hybrid Derivatives 313 321 .
Jürgen Topper. (2005) Option pricing with finite elements. Wilmott 2005:1, pages 84-90.
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Giovanni Barone-Adesi, Ana Bermudez & John Hatgioannides. (2003) Two-factor convertible bonds valuation using the method of characteristics/finite elements. Journal of Economic Dynamics and Control 27:10, pages 1801-1831.
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