Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
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Publication:2133307
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cites work
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- An accurate solution for the generalized Black-Scholes equations governing option pricing
- An exact analytical solution for discrete barrier options
- Chebyshev and Fourier spectral methods.
- Efficient and fast numerical method for pricing discrete double barrier option by projection method
- Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations
- Multigrid method for pricing European options under the CGMY process
- Multinomial Approximating Models for Options with k State Variables
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- Operational matrix of fractional integration based on the shifted second kind Chebyshev polynomials for solving fractional differential equations
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Pricing double barrier options using Laplace transforms
- The pricing of options and corporate liabilities
Cited in
(5)- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- 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
- Numerical method of pricing discretely monitored barrier option
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