An efficient computational algorithm for pricing European, barrier and American options
DOI10.1007/S40314-018-0605-7zbMATH Open1404.65287OpenAlexW2794114978MaRDI QIDQ1993476FDOQ1993476
Authors: Somayeh Abdi-Mazraeh, Ali Khani 
Publication date: 5 November 2018
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-018-0605-7
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Cites Work
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Cited In (12)
- A fully spectral collocation method for pricing European style standard and nonstandard options
- An Efficient, and Fast Convergent Algorithm for Barrier Options
- A lattice algorithm for pricing moving average barrier options
- Very fast algorithms for implied barriers and moving-barrier options pricing
- Rational spectral collocation method for pricing American vanilla and butterfly spread options
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
- On some generalized American style derivatives
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
- Using computational methodology to price European options with actual payoff distributions
- Efficient willow tree method for European-style and American-style moving average barrier options pricing
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