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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-06-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2075-1680/7/2/40 |