International audienceIn this paper we consider Dirichlet or Neumann wave propagation problems reformulated in terms of boundary integral equations with retarded potential. Starting from a natural energy identity, a space–time weak formulation for 1D integral problems is briefly introduced, and continuity and coerciveness properties of the related bilinear form are proved. Then, a theoretical analysis of an extension of the introduced formulation for 2D problems is proposed, pointing out the novelty with respect to existing literature results. At last, various numerical simulations will be presented and discussed, showing unconditional stability of the space–time Galerkin boundary element method applied to the energetic weak problem
A barrier option is an exotic path-dependent option contract that, depending on terms, automatically expires or can be exercised only if the underlying asset ever reaches a predetermined barrier price. Using a partial differential equation approach, we provide an integral representation of the barrier option price via the Mellin transform. In the case of knock-out barrier options, we obtain a decomposition of the barrier option price into the corresponding European option value minus a barrier premium. The integral representation formula can be expressed in terms of the solution to a system of coupled Volterra integral equations of the first kind. Moreover, we suggest some possible numerical approaches to the problem of barrier option pricing.
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