More Continuous Mass-Lumped Triangular Finite Elements

When solving the wave equation with finite elements, mass lumping allows for explicit time stepping, avoiding the cost of a lower-upper decomposition of the large sparse mass matrix. Mass lumping on the reference element amounts to numerical quadrature. The weights should be positive for stable time stepping and preserve numerical accuracy....

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston’s Model

We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the Heston stochastic volatility model. The two-dimensional pricing problem is dealt with by a combination of a Fourier cosine series expansion, as in [F. Fang and C.W. Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826–848...