PDE methods for pricing barrier options

By R. Zvan, Kenneth R. Vetzal, Peter A. Forsyth. 2000

193 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/47cf1a8a40eed259c0f786302609d03b4fed597e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Abdul Khaliq
4. Giovanni Barone-Adesi
5. Anastasia Bermudez
6. John Hatgioannides
7. D. Voss
8. Kamran Kazmi

In Strategy and Management

1. Abdul Khaliq
2. D. Voss
3. Kamran Kazmi
4. Peter A. Forsyth
5. Giovanni Barone-Adesi
6. Kenneth R. Vetzal

Citations in the corpus

• Two-factor convertible bonds valuation using the method of characteristics/finite elements (2003, background): “Some studies have indicated for example, the need for small mesh spacing near barriers (Figlewski and Gao, 1997; Zvan et al., 2000a).”
• Quadratic Convergence for Valuing American Options Using a Penalty Method (2001, background): “For example, the addition of discretely observed barriers [3, 42] causes difficulties for binomial methods.”
• QUADRATIC CONVERGENCE OF A PENALTY METHOD FOR VALUING AMERICAN OPTIONS (2000, background): “For example, the addition of discretely observed barriers [3, 25] causes difficulties for binomial methods.”
• Adaptive θ-methods for pricing American options (2008, methodology): “13) describing the time-step constraint is in agreement with findings in the literature for avoiding spurious oscillations in the Crank–Nicolson method (see, for example, [9,11,17,24,26]).”
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (2007, background): “[25] have discussed the oscillatory behavior”