Efficient and fast numerical method for pricing discrete double barrier option by projection method

DOI10.1016/j.camwa.2017.01.019zbMath1414.91410OpenAlexW2591604275MaRDI QIDQ2401999

Mohammad Hossein Beheshti, Amirhossein Sobhani, Rahman Farnoosh

Publication date: 6 September 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.01.019

zbMATH Keywords

option pricingBlack-Scholes modelprojection methodsLegendre polynomialsdouble barrier option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items

Numerical method for pricing discretely monitored double barrier option by orthogonal projection method, A numerical method for pricing discrete double barrier option by Legendre multiwavelet, 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 series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate, Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market

Uses Software

• Matlab

Cites Work

• Unnamed Item
• Unnamed Item
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• The pricing of vulnerable options with double Mellin transforms
• Numerical valuation of discrete double barrier options
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• Analysis of quadrature methods for pricing discrete barrier options
• Algorithms and economic dynamics. Selected papers from the 2nd annual meeting of the Society for Computational Economics, Geneva, Switzerland, 1996
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
• Numerical method for discrete double barrier option pricing with time-dependent parameters
• An exact analytical solution for discrete barrier options
• Spectral analysis of collectively compact, strongly convergent operator sequences
• Theoretical Numerical Analysis
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Multinomial Approximating Models for Options with k State Variables