Numerical pricing of geometric asian options with barriers

In this article, a semianalytical method for pricing of barrier options is described and applied in the context of Asian options with geometric mean. The efficiency of the method is tested and compared with two finite difference methods.

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Bibliographic Details
Published in:Mathematical methods in the applied sciences 2018-11, Vol.41 (17), p.7510-7529
Main Authors: Aimi, Alessandra, Diazzi, Lorenzo, Guardasoni, Chiara
Format: Article
Language:English
Subjects:
barrier options
boundary element method
Finite difference method
geometric Asian options
Options trading
Pricing
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Description
Summary:In this article, a semianalytical method for pricing of barrier options is described and applied in the context of Asian options with geometric mean. The efficiency of the method is tested and compared with two finite difference methods.
ISSN:0170-4214
1099-1476
DOI:10.1002/mma.5179