Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 27 (2004)
Issue (Month): 2 (December)
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Web page: http://link.springer.de/link/service/journals/10203/index.htm
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"The Adaptive Mesh Model: A New Approach to Efficient Option Pricing,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
98-032, New York University, Leonard N. Stern School of Business-.
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- Phelim Boyle & Yisong Tian, 1998. "An explicit finite difference approach to the pricing of barrier options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 17-43.
- Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 87-100, March.
- P. A. Forsyth & K. R. Vetzal & R. Zvan, 1999. "A finite element approach to the pricing of discrete lookbacks with stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 87-106.
- N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
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