We analyse the Galerkin Infinite Element method for pricing European barrier options and, more generally, options with discontinuous payoff. The Infinite Element method is a very simple and efficient modification of the more common Finite Element method. It keeps the best features of Finite...

A family of Exponentially Fitted Block Backward Differentiation Formulas (EFBBDFs) whose coefficients depend on a parameter and step-size is developed and implemented on the Black-Scholes partial differential equation (PDE) for the valuation of options on a non-dividend-paying stock. Specific...