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
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Black-Scholes modelquadrature methoddiscrete barrier optionsexoticsmultivariate normal probability evaluation
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30)
Cites Work
- The pricing of options and corporate liabilities
- A continuity correction for discrete barrier options
- Monte Carlo methods for security pricing
- An exact analytical solution for discrete barrier options
- PDE methods for pricing barrier options
- Title not available (Why is that?)
- Title not available (Why is that?)
- Pricing double barrier options using Laplace transforms
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
- Random walk duality and the valuation of discrete lookback options
Cited In (21)
- The evaluation of discrete barrier options in a path integral framework
- Fast and accurate pricing of discretely monitored barrier options by numerical path integration
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
- DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
- THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
- Continuity correction: on the pricing of discrete double barrier options
- A numerical method for pricing discrete double barrier option by Chebyshev polynomials
- Title not available (Why is that?)
- Efficient and fast numerical method for pricing discrete double barrier option by projection method
- Analysis of quadrature methods for pricing discrete barrier options
- A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
- Option pricing and Greeks via a moving least square meshfree method
- Numerical method of pricing discretely monitored barrier option
- Random walk duality and the valuation of discrete lookback options
- Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities
- Radial basis functions with application to finance: American put option under jump diffusion
- Pricing Discrete European Barrier Options Using Lattice Random Walks
- Numerical method for discrete double barrier option pricing with time-dependent parameters
- Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
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