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 …

In this Article, a fast numerical algorithm for pricing discrete double barrier option is
presented. According to Black–Scholes model, the price of option in each monitoring date …

We construct closed-form asymptotic formulas for the Green's function of parabolic equations
(eg, Fokker–Planck equations) with variable coefficients in one space dimension. More …

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 …

A time-dependent double-barrier option is a derivative security that delivers the terminal
value φ (ST) at expiry T if neither of the continuous time-dependent barriers b±:[0, T]→ ℝ+ …

A numerical method to price options with moving barrier and time-dependent rebate is
proposed. In particular, using the so-called Boundary Element Method, an integral …

We develop a numerical method to price discrete barrier options on an underlying described
by the constant elasticity of variance model with jump-diffusion (CEVJD). In particular, the …

A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is
based on the foundations of Boundary Integral Methods which is recast here for the …

We consider second order parabolic equations with coefficients that vary both in space and
in time (non-autonomous). We derive closedform approximations to the associated …

We investigate the pricing of financial options under the 2-hypergeometric stochastic
volatility model. This is an analytically tractable model that reproduces the volatility smile …