Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
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Publication:2133307
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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- Efficient and fast numerical method for pricing discrete double barrier option by projection method
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- 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
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- Numerical method of pricing discretely monitored barrier option
- Numerical valuation of discrete double barrier options
- 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
(7)- 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
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- Numerical method of pricing discretely monitored barrier option
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- Mathematical modelling and transmission dynamic of SEIRVQD model for epidemic diseases
- Analysis of a stochastic model for a prey–predator system with an indirect effect
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