{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,14]],"date-time":"2026-05-14T21:19:33Z","timestamp":1778793573890,"version":"3.51.4"},"reference-count":28,"publisher":"Walter de Gruyter GmbH","issue":"2","funder":[{"DOI":"10.13039\/501100003329","name":"Ministerio de Econom\u00eda y Competitividad","doi-asserted-by":"publisher","award":["PID2019-105986GB-C21"],"award-info":[{"award-number":["PID2019-105986GB-C21"]}],"id":[{"id":"10.13039\/501100003329","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100003329","name":"Ministerio de Econom\u00eda y Competitividad","doi-asserted-by":"publisher","award":["PID2020-118339GB-I00"],"award-info":[{"award-number":["PID2020-118339GB-I00"]}],"id":[{"id":"10.13039\/501100003329","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100013816","name":"Departament d\u2019Empresa i Coneixement, Generalitat de Catalunya","doi-asserted-by":"publisher","award":["2020-PANDE-00074"],"award-info":[{"award-number":["2020-PANDE-00074"]}],"id":[{"id":"10.13039\/501100013816","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2023,4,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices.\nAfter a description of its use in the Black and Scholes (BS) model, the focus of the paper is on the application of the proposed methodology to the barrier option evaluation in the Heston model, where its contribution is fundamental to improve computational efficiency and to make BEM appealing among finance practitioners as a valid alternative to Monte Carlo (MC) or other more traditional approaches.\nAn error analysis is provided on the number of terms used in the Fourier-cosine series expansion, where the error bound estimation is based on the characteristic function of the log-asset price process.\nA Matlab code implementing this technique is attached at the end of the paper.<\/jats:p>","DOI":"10.1515\/cmam-2022-0088","type":"journal-article","created":{"date-parts":[[2023,3,9]],"date-time":"2023-03-09T17:21:02Z","timestamp":1678382462000},"page":"301-331","source":"Crossref","is-referenced-by-count":5,"title":["Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code)"],"prefix":"10.1515","volume":"23","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4699-4261","authenticated-orcid":false,"given":"Alessandra","family":"Aimi","sequence":"first","affiliation":[{"name":"Department of Mathematical, Physical and Computer Sciences , University of Parma , Parma , Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7054-8579","authenticated-orcid":false,"given":"Chiara","family":"Guardasoni","sequence":"additional","affiliation":[{"name":"Department of Mathematical, Physical and Computer Sciences , University of Parma , Parma , Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4944-3307","authenticated-orcid":false,"given":"Luis","family":"Ortiz-Gracia","sequence":"additional","affiliation":[{"name":"Department of Econometrics, Statistics and Applied Economics , University of Barcelona , Barcelona , Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2335-5619","authenticated-orcid":false,"given":"Simona","family":"Sanfelici","sequence":"additional","affiliation":[{"name":"Department of Economics and Management , University of Parma , Parma , Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2023,3,10]]},"reference":[{"key":"2023033113095735234_j_cmam-2022-0088_ref_001","doi-asserted-by":"crossref","unstructured":"N. Achtsis, R. Cools and D. Nuyens,\nConditional sampling for barrier option pricing under the Heston model,\nMonte Carlo and Quasi-Monte Carlo Methods 2012,\nSpringer Proc. Math. Stat. 65,\nSpringer, Heidelberg (2013), 253\u2013269.","DOI":"10.1007\/978-3-642-41095-6_9"},{"key":"2023033113095735234_j_cmam-2022-0088_ref_002","doi-asserted-by":"crossref","unstructured":"F. Black and M. Scholes,\nThe pricing of options and corporate liabilities,\nJ. Polit. Econ. 81 (1973), no. 3, 637\u2013654.","DOI":"10.1086\/260062"},{"key":"2023033113095735234_j_cmam-2022-0088_ref_003","doi-asserted-by":"crossref","unstructured":"A. Borovykh, A. Pascucci and C. W. Oosterlee,\nPricing Bermudan options under local L\u00e9vy models with default,\nJ. Math. Anal. Appl. 450 (2017), no. 2, 929\u2013953.","DOI":"10.1016\/j.jmaa.2017.01.071"},{"key":"2023033113095735234_j_cmam-2022-0088_ref_004","doi-asserted-by":"crossref","unstructured":"A. Borovykh, A. Pascucci and C. W. Oosterlee,\nEfficient computation of various valuation adjustments under local L\u00e9vy models,\nSIAM J. Financial Math. 9 (2018), no. 1, 251\u2013273.","DOI":"10.1137\/16M1099005"},{"key":"2023033113095735234_j_cmam-2022-0088_ref_005","doi-asserted-by":"crossref","unstructured":"P. P. Boyle and S. H. Lau,\nBumping up against the barrier with the binomial method,\nJ. Derivatives 1 (1994), 6\u201314.","DOI":"10.3905\/jod.1994.407891"},{"key":"2023033113095735234_j_cmam-2022-0088_ref_006","doi-asserted-by":"crossref","unstructured":"P. Carr, D. B. Madan and R. H. Smith,\nOption valuation using the fast fourier transform,\nJ. Comput. Finance 2 (1999), 61\u201373.","DOI":"10.21314\/JCF.1999.043"},{"key":"2023033113095735234_j_cmam-2022-0088_ref_007","doi-asserted-by":"crossref","unstructured":"C. Chiarella, B. Kang and G. H. Meyer,\nThe evaluation of barrier option prices under stochastic volatility,\nComput. Math. 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