![](/~aboiardi/project/fem-bboption/featured_hu1d19d546ddc01aef545dded6572b4f2c_30123_720x2500_fit_q75_h2_lanczos_3.webp)
As final assignment for the course of Mathematical models in Finance I developed a small FEM code for the evaluation of two-asset basket double barrier option in the Black-Scholes model.
Just to get an idea, here is an animation of the time evolution of the payoff