Efficient and fast numerical method for pricing discrete double barrier option by projection method
نویسندگان
چکیده
منابع مشابه
Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2017
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2017.01.019