BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options.

In this paper, we consider a Semi-Analytical method for Barrier Option (SABO) applied to continuously monitored Arithmetic Asian Options with barrier. The effectiveness and utility of this approach, based on collocation Boundary Element Method (BEM), has already been tested for European style barrier options in other frameworks and in particular with reference to the similar but unusual Geometric Asian Options. European style Arithmetic Asian Options are more common among practitioners, but much more difficult to treat. Hence a deep investigation of the strategies applied to face the numerical challenges involved in their evaluation by SABO is here presented, together with several results that show the performance of the considered approach. [ABSTRACT FROM AUTHOR]