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Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff

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Simona Sanfelici ()
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File URL: http://hdl.handle.net/10.1007/s10203-004-0046-1
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Article provided by Springer in its journal Decisions in Economics and Finance.

Volume (Year): 27 (2004)
Issue (Month): 2 (December)
Pages: 125-151
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Handle: RePEc:spr:decfin:v:27:y:2004:i:2:p:125-151

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. P. Forsyth & K. Vetzal & R. Zvan, 2002. "Convergence of numerical methods for valuing path-dependent options using interpolation," Review of Derivatives Research, Springer, vol. 5(3), pages 273-314, October. [Downloadable!] (restricted)
  2. 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. [Downloadable!]
  3. 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 and Francis Journals, vol. 6(2), pages 87-106, June. [Downloadable!] (restricted)
  4. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
  5. Figlewski, Stephen & Gao, Bin, 1999. "The adaptive mesh model: a new approach to efficient option pricing," Journal of Financial Economics, Elsevier, vol. 53(3), pages 313-351, September. [Downloadable!] (restricted)
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  6. Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October. [Downloadable!] (restricted)
  7. Phelim P. Boyle, Yisong (Sam) Tian, 1998. "An explicit finite difference approach to the pricing of barrier options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(1), pages 17-43, March. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. 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. [Downloadable!] (restricted)
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