A numerical method for pricing discrete double barrier option by Legendre multiwavelet
From MaRDI portal
Publication:2406310
DOI10.1016/j.cam.2017.07.033zbMath1378.91125arXiv1703.09129OpenAlexW2607155152MaRDI QIDQ2406310
Mariyan Milev, Amirhossein Sobhani
Publication date: 27 September 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.09129
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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