Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
DOI10.3934/math.2021339zbMath1484.91519OpenAlexW3150108261MaRDI QIDQ2133307
Milad Fahimi, Kazem Nouri, Leila Torkzadeh, Dumitru Baleanu
Publication date: 29 April 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/math.2021339
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Uses Software
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