A barrier option is an exotic path-dependent option contract that, depending on terms,
automatically expires or can be exercised only if the underlying asset ever reaches a …

We consider the problem of pricing American options in the framework of a well-known
stochastic volatility model with jumps, the Bates model. According to this model, the price of …

This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …

An external barrier option has a random variable which determines whether the option is
knock-in or knock-out. In this paper, we deal with the pricing of the external barrier option …

In this work, the Fourier-cosine series (COS) method has been combined with the Boundary
Element Method (BEM) for a fast evaluation of barrier option prices. After a description of its …

A barrier option is an exotic path-dependent option contract where the right to buy or sell is
activated or extinguished when the underlying asset reaches a certain barrier price during …

The default probability of a publicly-traded company is modeled by a synchronous-jump
regime-switching model in the paper (Hainaut and Colwell, 2016). In this investigation, we …

Abstract The Semi-Analytical method for pricing of Barrier Options (SABO) already applied in
the context of European options is here extended to the evaluation of geometric Asian …

We treat the way to achieve great computational savings and accuracy in the evaluation of
barrier options through boundary element method (BEM). The proposed method applies to …

Numerical pricing of geometric asian options with barriers - Aimi - 2018 - Mathematical Methods
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