Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process


  • Amirhossein Sobhani School of Mathematics, Iran University of Science and Technology, 16844 Tehran, Iran
  • Masoud Hasanpour Department of Mathematics, Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran
  • Rahman Farnoosh School of Mathematics, Iran University of Science and Technology, 16844 Tehran, Iran

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 alternative numerical methods presented in previous papers.

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عنوان ژورنال:

دوره 9  شماره 2

صفحات  1- 7

تاریخ انتشار 2018-12-01

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