Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab^® Code)

Abstract

In this paper, we extend the SABO technique (Semi-Analytical method for Barrier Options), based on collocation Boundary Element Method (BEM), to the pricing of Barrier Options with payoff dependent on more than one asset. The efficiency and accuracy already revealed in the case of a single asset is confirmed by the presented numerical results.

Keywords

• boundary element method
• barrier options
• multi-asset options
• basket options
• spread options