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

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

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 b...

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Bibliographic Details
Main Authors: Alessandra Aimi, Lorenzo Diazzi, Chiara Guardasoni
Format: Article
Language:English
Published: MDPI AG 2018-06-01
Series:Axioms
Subjects:
boundary element method
finite difference method
floating strike Asian options
continuous geometric average
barrier options
Online Access:http://www.mdpi.com/2075-1680/7/2/40
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spelling doaj-c0cc0a208f5240398db8782ef0556a482020-11-25T02:19:40ZengMDPI AGAxioms2075-16802018-06-01724010.3390/axioms7020040axioms7020040Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)Alessandra Aimi0Lorenzo Diazzi1Chiara Guardasoni2Department of Mathematical Physical and Computer Sciences, University of Parma, Parma 43124, ItalyDepartment of Physics Informatics and Mathematics, University of Modena and Reggio Emilia, Modena 41125, ItalyDepartment of Mathematical Physical and Computer Sciences, University of Parma, Parma 43124, ItalyThis 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.http://www.mdpi.com/2075-1680/7/2/40boundary element methodfinite difference methodfloating strike Asian optionscontinuous geometric averagebarrier options
collection DOAJ
language English
format Article
sources DOAJ
author Alessandra Aimi
Lorenzo Diazzi
Chiara Guardasoni
spellingShingle Alessandra Aimi
Lorenzo Diazzi
Chiara Guardasoni
Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
Axioms
boundary element method
finite difference method
floating strike Asian options
continuous geometric average
barrier options
author_facet Alessandra Aimi
Lorenzo Diazzi
Chiara Guardasoni
author_sort Alessandra Aimi
title Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
title_short Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
title_full Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
title_fullStr Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
title_full_unstemmed Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
title_sort efficient bem-based algorithm for pricing floating strike asian barrier options (with matlab® code)
publisher MDPI AG
series Axioms
issn 2075-1680
publishDate 2018-06-01
description 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.
topic boundary element method
finite difference method
floating strike Asian options
continuous geometric average
barrier options
url http://www.mdpi.com/2075-1680/7/2/40
work_keys_str_mv AT alessandraaimi efficientbembasedalgorithmforpricingfloatingstrikeasianbarrieroptionswithmatlabcode
AT lorenzodiazzi efficientbembasedalgorithmforpricingfloatingstrikeasianbarrieroptionswithmatlabcode
AT chiaraguardasoni efficientbembasedalgorithmforpricingfloatingstrikeasianbarrieroptionswithmatlabcode
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