A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes (Q6140451): Difference between revisions

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scientific article; zbMATH DE number 7782151

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English	A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes	scientific article; zbMATH DE number 7782151

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instance of

scholarly article

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title

A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes (English)

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Mathematical Methods in the Applied Sciences

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publication date

2 January 2024

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full work available at URL

https://arxiv.org/abs/1712.01060

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zbMATH Keywords

barrier options

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Black-Scholes model

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Jacobi polynomials

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Lagrange interpolation

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option pricing

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An exact analytical solution for discrete barrier options

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Analysis of quadrature methods for pricing discrete barrier options

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Numerical valuation of discrete double barrier options

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Laplace transform and finite difference methods for the Black-Scholes equation

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A numerical method for pricing discrete double barrier option by Legendre multiwavelet

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A high-order finite difference method for option valuation

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Efficient implicit scheme with positivity preserving and smoothing properties

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Pricing Options With Curved Boundaries<sup>1</sup>

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Q4349551

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A Continuity Correction for Discrete Barrier Options

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Multinomial Approximating Models for Options with k State Variables

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Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

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Q4433608

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Processes of normal inverse Gaussian type

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PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH

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Pricing double barrier options using Laplace transforms

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A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options

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Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions

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Numerical method for discrete double barrier option pricing with time-dependent parameters

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Efficient and fast numerical method for pricing discrete double barrier option by projection method

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Q2781419

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On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options

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Identifiers

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6140451

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@@ Property / cites work: Q3696432 / 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 @@
+Laplace transform and finite difference methods for the Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+A numerical method for pricing discrete double barrier option by Legendre multiwavelet
+Normal rank
@@ Property / cites work @@
+A high-order finite difference method for option valuation
+Normal rank
@@ Property / cites work @@
+Efficient implicit scheme with positivity preserving and smoothing properties
+Normal rank
@@ Property / cites work @@
+Pricing Options With Curved Boundaries<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
+Normal rank
@@ Property / cites work @@
+A Continuity Correction for Discrete Barrier Options
+Normal rank
@@ Property / cites work @@
+Multinomial Approximating Models for Options with k State Variables
+Normal rank
@@ Property / cites work @@
+Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
+Normal rank
@@ Property / cites work @@
+Pricing double barrier options using Laplace transforms
+Normal rank
@@ Property / cites work @@
+A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
+Normal rank
@@ Property / cites work @@
+Numerical method for discrete double barrier option pricing with time-dependent parameters
+Normal rank
@@ Property / cites work @@
+Efficient and fast numerical method for pricing discrete double barrier option by projection method
+Normal rank
@@ Property / cites work @@
+Q2781419
@@ Property / cites work: Q2781419 / rank @@
+Normal rank
@@ Property / cites work @@
+On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6140451