A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes (Q6140451)
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scientific article; zbMATH DE number 7782151
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes |
scientific article; zbMATH DE number 7782151 |
Statements
A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes (English)
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2 January 2024
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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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