Numerical method for pricing discretely monitored double barrier option by orthogonal projection method

DOI10.3934/MATH.2021339zbMATH Open1484.91519OpenAlexW3150108261MaRDI QIDQ2133307FDOQ2133307

Milad Fahimi, K. Nouri, Leila Torkzadeh, D. Baleanu

Publication date: 29 April 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2021339

zbMATH Keywords

Black-Scholes modelChebyshev polynomialorthogonal projectiondouble barrier option

Mathematics Subject Classification ID

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Chebyshev and Fourier spectral methods.
• Multinomial Approximating Models for Options with k State Variables
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• An exact analytical solution for discrete barrier options
• Operational matrix of fractional integration based on the shifted second kind Chebyshev polynomials for solving fractional differential equations
• Pricing double barrier options using Laplace transforms
• Numerical method of pricing discretely monitored barrier option
• Numerical valuation of discrete double barrier options
• Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
• An accurate solution for the generalized Black-Scholes equations governing option pricing
• Multigrid method for pricing European options under the CGMY process
• Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations
• Efficient and fast numerical method for pricing discrete double barrier option by projection method

Cited In (1)

• Numerical method of pricing discretely monitored barrier option

Uses Software

• OPQ

   Recommendations

• Efficient and fast numerical method for pricing discrete double barrier option by projection method 👍 👎
• Numerical method of pricing discretely monitored barrier option 👍 👎
• Numerical method for discrete double barrier option pricing with time-dependent parameters 👍 👎
• Numerical valuation of discrete double barrier options 👍 👎
• A numerical method for pricing discrete double barrier option by Chebyshev polynomials 👍 👎
• 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 👍 👎
• Fast and accurate pricing of discretely monitored barrier options by numerical path integration 👍 👎
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion 👍 👎
• Pricing discretely-monitored double barrier options with small probabilities of execution 👍 👎

This page was built for publication: Numerical method for pricing discretely monitored double barrier option by orthogonal projection method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2133307)