Pooley, D. M.; Forsyth, P. A.; Vetzal, K. R.; Simpson, R. B. - In: Applied Mathematical Finance 7 (2000) 1, pp. 33-60
Discretely observed barriers introduce discontinuities in the solution of two asset option pricing partial differential equations (PDEs) at barrier observation dates. Consequently, an accurate solution of the pricing PDE requires a fine mesh spacing near the barriers. Non-rectangular barriers...