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1 paper

q-fin.CP2023

Fast Barrier Option Pricing by the COS BEM Method in Heston Model

A. Aimi, C. Guardasoni, L. Ortiz-Gracia +1

In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices. After a description of…