Romberg numerical method for partial differential Brownian model with time parameter for discrete barrier option
DOI10.3969/J.ISSN.0490-6756.2017.05.008zbMATH Open1399.91138MaRDI QIDQ3175555FDOQ3175555
Dingqi Yan, Yu Zhang, Pei Cheng
Publication date: 18 July 2018
Recommendations
- Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
- Numerical method for discrete double barrier option pricing with time-dependent parameters
- Pricing Discrete European Barrier Options Using Lattice Random Walks
- 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
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)
This page was built for publication: Romberg numerical method for partial differential Brownian model with time parameter for discrete barrier option
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3175555)
