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Axioms 2018, 7(2), 40; https://doi.org/10.3390/axioms7020040

Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)

1,†,‡,* , 2,‡
and
3,‡
1
Department of Mathematical Physical and Computer Sciences, University of Parma, Parma 43124, Italy
2
Department of Physics Informatics and Mathematics, University of Modena and Reggio Emilia, Modena 41125, Italy
3
Department of Mathematical Physical and Computer Sciences, University of Parma, Parma 43124, Italy
Current address: Parco Area delle Scienze 53/A, 43124 Parma, Italy.
Members of the INdAM-GNCS Research Group. These authors contributed equally to this work.
*
Author to whom correspondence should be addressed.
Received: 11 May 2018 / Revised: 11 June 2018 / Accepted: 12 June 2018 / Published: 15 June 2018
(This article belongs to the Special Issue Advanced Numerical Methods in Applied Sciences)
Full-Text   |   PDF [436 KB, uploaded 19 June 2018]   |  

Abstract

This paper aims to illustrate how SABO (Semi-Analytical method for Barrier Option pricing) is easily applicable for pricing floating strike Asian barrier options with a continuous geometric average. Recently, this method has been applied in the Black–Scholes framework to European vanilla barrier options with constant and time-dependent parameters or barriers and to geometric Asian barrier options with a fixed strike price. The greater efficiency of SABO with respect to classical finite difference methods is clearly evident in numerical simulations. For the first time, a user-friendly MATLAB® code is made available here. View Full-Text
Keywords: boundary element method; finite difference method; floating strike Asian options; continuous geometric average; barrier options boundary element method; finite difference method; floating strike Asian options; continuous geometric average; barrier options
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Aimi, A.; Diazzi, L.; Guardasoni, C. Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code). Axioms 2018, 7, 40.

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