Numerical method for discrete double barrier option pricing with time-dependent parameters

DOI10.1016/j.camwa.2015.08.016zbMath1443.91329OpenAlexW2192666351MaRDI QIDQ2006488

Amirhossein Sobhani, Mohammad Hossein Beheshti, Hamidreza Rezazadeh, Rahman Farnoosh

Publication date: 11 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.08.016

zbMATH Keywords

greeksoption pricingBlack-Scholes modeldiscrete monitoringtime-dependent parametersdouble barrier option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Second-order parabolic equations (35K10)

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Cites Work

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• Numerical valuation of discrete double barrier options
• An exact analytical solution for discrete barrier options
• An alternative approach to solving the Black-Scholes equation with time-varying parameters
• Multinomial Approximating Models for Options with k State Variables
• An explicit finite difference approach to the pricing of barrier options
• Stochastic differential equations. An introduction with applications.

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