Romberg numerical method for partial differential Brownian model with time parameter for discrete barrier option

DOI10.3969/J.ISSN.0490-6756.2017.05.008MaRDI QIDQ3175555zbMATH OpenFDO

Authors Pei Cheng, Dingqi Yan, Yu Zhang

Publication date 18 July 2018

zbMATH Keywords

partial differential equationdiscrete barrier optionBrownian modelRomberg solution

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) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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