Variable time-stepping hybrid finite difference methods for pricing binary options

DOI10.4134/BKMS.2011.48.2.413MaRDI QIDQ3169247zbMATH OpenOpenAlexFDO

Authors Hongjoong Kim, Kyoung-Sook Moon

Publication date 28 April 2011

Published in Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL http://www.mathnet.or.kr/mathnet/kms_content.php?no=402846

zbMATH Keywords

American optionsbinary optionshybrid finite difference methodoption pricingvariable time steps

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(1)

• A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options

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