Efficient and fast numerical method for pricing discrete double barrier option by projection method (Q2401999): Difference between revisions

@@ Property / describes a project that uses @@
+Matlab
@@ Property / describes a project that uses: Matlab / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2017.01.019
+Normal rank
@@ Property / OpenAlex ID @@
+W2591604275
@@ Property / OpenAlex ID: W2591604275 / rank @@
+Normal rank
@@ Property / cites work @@
+Multinomial Approximating Models for Options with k State Variables
+Normal rank
@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
+Normal rank
@@ Property / cites work @@
+An exact analytical solution for discrete barrier options
+Normal rank
@@ Property / cites work @@
+Analysis of quadrature methods for pricing discrete barrier options
+Normal rank
@@ Property / cites work @@
+Numerical valuation of discrete double barrier options
+Normal rank
@@ Property / cites work @@
+Numerical method for discrete double barrier option pricing with time-dependent parameters
+Normal rank
@@ Property / cites work @@
+The pricing of vulnerable options with double Mellin transforms
+Normal rank
@@ Property / cites work @@
+Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
+Normal rank
@@ Property / cites work @@
+Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
+Normal rank
@@ Property / cites work @@
+A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
+Normal rank
@@ Property / cites work @@
+Wavelet Galerkin pricing of American options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Q4304290
@@ Property / cites work: Q4304290 / rank @@
+Normal rank
@@ Property / cites work @@
+Theoretical Numerical Analysis
@@ Property / cites work: Theoretical Numerical Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral analysis of collectively compact, strongly convergent operator sequences
+Normal rank
@@ Property / cites work @@
+On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
+Normal rank