Numerical valuation of discrete double barrier options

DOI10.1016/J.CAM.2009.10.029zbMATH Open1182.91204OpenAlexW2148233817MaRDI QIDQ847225FDOQ847225

Authors Mariyan Milev, Aldo Tagliani 

Publication date 12 February 2010

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2009.10.029

zbMATH Keywords

Black-Scholes modelquadrature methoddiscrete barrier optionsexoticsmultivariate normal probability evaluation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30)

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Cites work

• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• scientific article; zbMATH DE number 5240439 (Why is no real title available?)
• A continuity correction for discrete barrier options
• An exact analytical solution for discrete barrier options
• Monte Carlo methods for security pricing
• On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
• PDE methods for pricing barrier options
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• Pricing double barrier options using Laplace transforms
• Random walk duality and the valuation of discrete lookback options
• The pricing of options and corporate liabilities

Cited in

(23)

• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
• A family of positive nonstandard numerical methods with application to Black-Scholes equation
• Fast and accurate pricing of discretely monitored barrier options by numerical path integration
• Numerical method for discrete double barrier option pricing with time-dependent parameters
• The evaluation of discrete barrier options in a path integral framework
• A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
• Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities
• Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
• THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
• A numerical method for pricing discrete double barrier option by Legendre multiwavelet
• Radial basis functions with application to finance: American put option under jump diffusion
• A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
• Option pricing and Greeks via a moving least square meshfree method
• Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
• Efficient and fast numerical method for pricing discrete double barrier option by projection method
• Pricing Discrete European Barrier Options Using Lattice Random Walks
• Random walk duality and the valuation of discrete lookback options
• Continuity correction: on the pricing of discrete double barrier options
• Analysis of quadrature methods for pricing discrete barrier options
• A numerical method for pricing discrete double barrier option by Chebyshev polynomials
• Pricing double barrier options
• Numerical method of pricing discretely monitored barrier option

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