Pricing double barrier options

MaRDI QIDQ2824904zbMATH OpenFDO

Authors Bin Peng, Fei Peng

Publication date 6 October 2016

Published in Mathematics in Practice and Theory (Search for Journal in Brave)

zbMATH Keywords

discrete methoddouble barrier optionsreflection principle

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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(24)

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• A hybrid finite difference method for pricing two-asset double barrier options
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• Outside barrier lookback options with floating strike
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• A numerical method for pricing discrete double barrier option by Chebyshev polynomials
• Efficient and fast numerical method for pricing discrete double barrier option by projection method
• Spectral binomial tree: new algorithms for pricing barrier options
• Pricing general barrier options: a numerical approach using sharp large deviations
• The binomial interpolated lattice method for step double barrier options
• HEDGING DOUBLE BARRIERS WITH SINGLES
• Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
• Double knock-out Asian barrier options which widen or contract as they approach maturity
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• A boundary element method to price time-dependent double barrier options
• scientific article; zbMATH DE number 2065147 (Why is no real title available?)
• Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
• Pricing double barrier options with fluctuating volatility
• Valuation of continuously monitored double barrier options and related securities
• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
• Continuity correction: on the pricing of discrete double barrier options
• Numerical valuation of discrete double barrier options

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