A numerical method for pricing discrete double barrier option by Chebyshev polynomials

DOI10.1007/S40096-020-00319-8MaRDI QIDQ2184388zbMATH OpenOpenAlexFDO

Authors Fatemeh Kamalzadeh, Kianoosh Fathi, Rahman Farnoosh

Publication date 28 May 2020

Published in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40096-020-00319-8

zbMATH Keywords

Black-Scholes modelChebyshev polynomialdouble barrier optionoption pricing

Mathematics Subject Classification ID

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

• A numerical method for pricing discrete double barrier option by Legendre multiwavelet
• An exact analytical solution for discrete barrier options
• Analysis of quadrature methods for pricing discrete barrier options
• Efficient and fast numerical method for pricing discrete double barrier option by projection method
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• Multinomial Approximating Models for Options with k State Variables
• Numerical method for discrete double barrier option pricing with time-dependent parameters
• Numerical valuation of discrete double barrier options
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• The pricing of vulnerable options with double Mellin transforms

Cited in

(4)

• Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
• 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
• A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes

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