Hello Everyone!Iam writing thesis and need information on "Pricing Barrier Options" with Finite Difference method in Matlab. Can anyone help me with the same?

QuoteOriginally posted by: festivieHello Everyone!Iam writing thesis and need information on "Pricing Barrier Options" with Finite Difference method in Matlab. Can anyone help me with the same?Festivie,I have done some work on barriers, FDM and C++. I cannot help you with Matlab but the algorithms can be done in any language.Is the scope of your thesis known yet in sense of what aspects of this broad problem you want to study:A. One-factor, 2-factor...B. Continuous, discrete monitoring, jumpsC. Stochastic volatilityD. Discontinuous and partial barriers, rebates ...E.Jumps, then have a PIDE (integral)There are some new FDM schemes that could be used (ADI and Crank Nicolson are getting a bit long in the tooth), such as IMEX and splitting via the diffusion and convective terms.I think FDM is a good candidate in these cases; the barrier corresponds to Dirichlet boundary conditions. Compare this with how to do in trinomial (not elegant).Here are some relevant articleshttp://www.datasim-component.com/financial.asp ... sourcesAnd here is the book (feb 2006). Email dduffy@datasim.nl if you to have/need some preliminary information hope this helpsDanielP.S. Wilmotter Erstwhile has a lot of financial insights on this topic. You might like to see what he has written.

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