A hybrid finite difference method for pricing two-asset double barrier options

DOI10.1155/2015/692695zbMath1395.91499OpenAlexW1984763264WikidataQ59118944 ScholiaQ59118944MaRDI QIDQ1666349

Y. Aharonov

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/692695

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A method for the numerical inversion of Laplace transforms
• Hybrid Laplace transform/finite element method for one-dimensional transient heat conduction problems
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• Barrier option pricing: a hybrid method approach
• Hybrid Laplace transform/finite difference method for transient heat conduction problems
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Numerical Inversion of Laplace Transforms: An Efficient Improvement to Dubner and Abate's Method

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