A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes

DOI10.1002/mma.8888arXiv1712.01060OpenAlexW4309681965MaRDI QIDQ6140451

Amirhossein Sobhani, Mariyan Milev

Publication date: 2 January 2024

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.01060

zbMATH Keywords

option pricingLagrange interpolationJacobi polynomialsBlack-Scholes modelbarrier options

Mathematics Subject Classification ID

Algorithms for approximation of functions (65D15) Spaces of linear operators; topological tensor products; approximation properties (46A32) Initial value problems for PDEs and systems of PDEs with constant coefficients (35E15)

Cites Work

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