Aimi, Alessandra; Guardasoni, Chiara; Ortiz-Gracia, Luis; Sanfelici, Simona Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code). (English) Zbl 1514.91202 Comput. Methods Appl. Math. 23, No. 2, 301-331 (2023). MSC: 91G60 65M38 65M80 91G20 91-04 PDFBibTeX XMLCite \textit{A. Aimi} et al., Comput. Methods Appl. Math. 23, No. 2, 301--331 (2023; Zbl 1514.91202) Full Text: DOI arXiv
Aimi, Alessandra; Diazzi, Lorenzo; Guardasoni, Chiara Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code). (English) Zbl 1432.91136 Axioms 7, No. 2, Paper No. 40, 17 p. (2018). MSC: 91G60 65M06 PDFBibTeX XMLCite \textit{A. Aimi} et al., Axioms 7, No. 2, Paper No. 40, 17 p. (2018; Zbl 1432.91136) Full Text: DOI
Aimi, Alessandra; Diazzi, Lorenzo; Guardasoni, Chiara Numerical pricing of geometric Asian options with barriers. (English) Zbl 1419.91643 Math. Methods Appl. Sci. 41, No. 17, 7510-7529 (2018). MSC: 91G60 91G20 65M06 PDFBibTeX XMLCite \textit{A. Aimi} et al., Math. Methods Appl. Sci. 41, No. 17, 7510--7529 (2018; Zbl 1419.91643) Full Text: DOI
Aimi, A.; Guardasoni, Chiara Collocation boundary element method for the pricing of geometric Asian options. (English) Zbl 1403.91370 Eng. Anal. Bound. Elem. 92, 90-100 (2018). MSC: 91G60 65M38 91G20 PDFBibTeX XMLCite \textit{A. Aimi} and \textit{C. Guardasoni}, Eng. Anal. Bound. Elem. 92, 90--100 (2018; Zbl 1403.91370) Full Text: DOI
Guardasoni, C. Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes). (English) Zbl 1393.65026 Commun. Appl. Ind. Math. 9, No. 1, Article ID 1413443, 26 p. (2018). MSC: 65M38 91G60 91G20 45D05 PDFBibTeX XMLCite \textit{C. Guardasoni}, Commun. Appl. Ind. Math. 9, No. 1, Article ID 1413443, 26 p. (2018; Zbl 1393.65026) Full Text: DOI
Guardasoni, C.; Sanfelici, S. A boundary element approach to barrier option pricing in Black-Scholes framework. (English) Zbl 1338.65226 Int. J. Comput. Math. 93, No. 4, 696-722 (2016). MSC: 65M38 35Q91 35Q84 91B24 91G60 91G20 91G80 PDFBibTeX XMLCite \textit{C. Guardasoni} and \textit{S. Sanfelici}, Int. J. Comput. Math. 93, No. 4, 696--722 (2016; Zbl 1338.65226) Full Text: DOI
Guardasoni, C.; Sanfelici, S. Fast numerical pricing of barrier options under stochastic volatility and jumps. (English) Zbl 1329.91139 SIAM J. Appl. Math. 76, No. 1, 27-57 (2016). MSC: 91G60 91G20 65M38 65M80 PDFBibTeX XMLCite \textit{C. Guardasoni} and \textit{S. Sanfelici}, SIAM J. Appl. Math. 76, No. 1, 27--57 (2016; Zbl 1329.91139) Full Text: DOI