Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code)

Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici. Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code). Comput. Meth. in Appl. Math., 23(2):301-332, April 2023. [doi]

Abstract

Abstract is missing.