Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
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Publication:2051161
DOI10.1007/S10287-021-00394-9OpenAlexW3142536365WikidataQ114228068 ScholiaQ114228068MaRDI QIDQ2051161
Publication date: 24 November 2021
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-021-00394-9
finite difference methodRichardson extrapolationmesh optimizationhigh-order accuracydouble barrier option
Related Items (2)
A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models ⋮ A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
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