Exotic Options - Computational Methods for Quantitative Finance - page 84

Fig. 6.4 Swing option prices
( top ) and corresponding
exercise boundary ( bottom )
6.5 Further Reading
Pricing of barrier options goes back to Merton [124]. In the recent paper from
Zvan [167], an overview over various computational methods is given. Similar
partial differential equation formulations for the Asian options are given in Inger-
soll [91], Rogers and Shi [142]. A unifying approach is presented by Vecer [157].
Compound options were studied by Geske [69] where also a closed form solution
was given. Obtaining swing option prices using a finite difference method was con-
sidered in Dahlgren [49] and for finite elements in Wilhelm and Winter [160].