A boundary element method to price time-dependent double barrier options

Luca Vincenzo Ballestra; Graziella Pacelli

doi:10.1016/j.amc.2011.09.050

A boundary element method to price time-dependent double barrier options

Applied Mathematics and Computation ◽

10.1016/j.amc.2011.09.050 ◽

2011 ◽

Vol 218 (8) ◽

pp. 4192-4210 ◽

Cited By ~ 8

Author(s):

Luca Vincenzo Ballestra ◽

Graziella Pacelli

Keyword(s):

Boundary Element Method ◽

Boundary Element ◽

Time Dependent ◽

Barrier Options ◽

Double Barrier ◽

Element Method

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Pricing Double-Barrier Options Using the Boundary Element Method

SSRN Electronic Journal ◽

10.2139/ssrn.1492653 ◽

2009 ◽

Author(s):

Graziella Pacelli ◽

Luca Vincenzo Ballestra

Keyword(s):

Boundary Element Method ◽

Boundary Element ◽

Barrier Options ◽

Double Barrier ◽

Element Method

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A Very Fast and Accurate Boundary Element Method for Options with Moving Barrier and Time-Dependent Rebate

SSRN Electronic Journal ◽

10.2139/ssrn.1492667 ◽

2009 ◽

Cited By ~ 2

Author(s):

Luca Vincenzo Ballestra ◽

Graziella Pacelli

Keyword(s):

Boundary Element Method ◽

Boundary Element ◽

Time Dependent ◽

Element Method

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Solution of the Transient Thermal Diffusion Equation Using the Time-Dependent Boundary Element Method

International Journal of Computational Methods and Experimental Measurements ◽

10.2495/cmem-v5-n3-260-270 ◽

2017 ◽

Vol 5 (3) ◽

pp. 260-270

Author(s):

K.E. Donne ◽

A. Marotin ◽

T. Bashford

Keyword(s):

Boundary Element Method ◽

Diffusion Equation ◽

Boundary Element ◽

Thermal Diffusion ◽

Time Dependent ◽

Transient Thermal ◽

Element Method

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Time-Dependent Reliability of Reinforced Concrete Considering Chloride Penetration via Boundary Element Method

Latin American Journal of Solids and Structures ◽

10.1590/1679-78255885 ◽

2020 ◽

Vol 17 (8) ◽

Cited By ~ 1

Author(s):

Giovanni Pais Pellizzer ◽

Henrique Machado Kroetz ◽

Edson Denner Leonel ◽

André Teófilo Beck

Keyword(s):

Reinforced Concrete ◽

Boundary Element Method ◽

Boundary Element ◽

Chloride Penetration ◽

Time Dependent ◽

Element Method

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AN IMPROVED BOUNDARY-ELEMENT METHOD AND ITS APPLICATION TO TIME-DEPENDENT CONVECTION

Numerical Heat Transfer Part B Fundamentals ◽

10.1080/10407799608915073 ◽

1996 ◽

Vol 30 (1) ◽

pp. 93-109 ◽

Cited By ~ 1

Author(s):

Jieyong Xu ◽

Abdelfattah Zebib

Keyword(s):

Boundary Element Method ◽

Boundary Element ◽

Time Dependent ◽

Element Method

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Dynamic analysis of Euler–Bernoulli beams by the time-dependent boundary element method formulation

Engineering Analysis with Boundary Elements ◽

10.1016/j.enganabound.2015.11.003 ◽

2016 ◽

Vol 63 ◽

pp. 134-153 ◽

Cited By ~ 5

Author(s):

R.F. Scuciato ◽

J.A.M. Carrer ◽

W.J. Mansur

Keyword(s):

Boundary Element Method ◽

Dynamic Analysis ◽

Boundary Element ◽

Time Dependent ◽

Method Formulation ◽

Element Method

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The time-dependent boundary element method formulation applied to dynamic analysis of Euler-Bernoulli beams: the linear θ method

Engineering Analysis with Boundary Elements ◽

10.1016/j.enganabound.2017.02.010 ◽

2017 ◽

Vol 79 ◽

pp. 98-109 ◽

Cited By ~ 2

Author(s):

R.F. Scuciato ◽

J.A.M. Carrer ◽

W.J. Mansur

Keyword(s):

Boundary Element Method ◽

Dynamic Analysis ◽

Boundary Element ◽

Time Dependent ◽

Method Formulation ◽

Element Method

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DUAL RECIPROCITY BOUNDARY ELEMENT METHOD FOR THE TIME‐DEPENDENT STOKES FLOWS

International Journal of Numerical Methods for Heat &amp Fluid Flow ◽

10.1108/eb017522 ◽

1993 ◽

Vol 3 (2) ◽

pp. 145-155 ◽

Cited By ~ 4

Author(s):

HENRY POWER ◽

PAUL W. PARTRIDGE

Keyword(s):

Boundary Element Method ◽

Boundary Element ◽

Time Dependent ◽

Stokes Flows ◽

Element Method

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A time-dependent formulation of dual boundary element method for 3D dynamic crack problems

International Journal for Numerical Methods in Engineering ◽

10.1002/(sici)1097-0207(19990830)45:12<1887::aid-nme660>3.0.co;2-q ◽

1999 ◽

Vol 45 (12) ◽

pp. 1887-1905 ◽

Cited By ~ 9

Author(s):

P.H. Wen ◽

M.H. Aliabadi ◽

A. Young

Keyword(s):

Boundary Element Method ◽

Boundary Element ◽

Time Dependent ◽

Dynamic Crack ◽

Dual Boundary Element Method ◽

Crack Problems ◽

Element Method

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An improved time-dependent Boundary Element Method for two-dimensional acoustic problems in a subsonic uniform flow

Journal of Computational Science ◽

10.1016/j.jocs.2017.04.019 ◽

2017 ◽

Vol 21 ◽

pp. 86-112 ◽

Cited By ~ 1

Author(s):

Bassem Barhoumi ◽

Jamel Bessrour

Keyword(s):

Boundary Element Method ◽

Boundary Element ◽

Uniform Flow ◽

Time Dependent ◽

Two Dimensional ◽

Element Method

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