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FEniCS code accompanying the paper "Numerical Valuation of Double Barrier Options: The Finite Element Method Approach".

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README.md

README.md

 
 

dbo_bs.py

dbo_bs.py

 
 

dbo_heston.py

dbo_heston.py

 
 

fem_tw.pdf

fem_tw.pdf

 
 

heston.py

heston.py

 
 

laplace.py

laplace.py

 
 

result.py

result.py

 
 

two_assets_corr_call.py

two_assets_corr_call.py

 
 

two_assets_max_call.py

two_assets_max_call.py

 
 

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fem

FEniCS code accompanying the paper "Numerical Valuation of Double Barrier Options: The Finite Element Method Approach".

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FEniCS code accompanying the paper "Numerical Valuation of Double Barrier Options: The Finite Element Method Approach".

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