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VARIABLE TIME-STEPPING HYBRID FINITE DIFFERENCE METHODS FOR PRICING BINARY OPTIONS - MaRDI portal

VARIABLE TIME-STEPPING HYBRID FINITE DIFFERENCE METHODS FOR PRICING BINARY OPTIONS

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DOI10.4134/BKMS.2011.48.2.413zbMath1214.91135OpenAlexW2073557732MaRDI QIDQ3169247

Kyoung-Sook Moon, Hongjoong Kim

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

option pricing American options variable time steps binary options hybrid finite difference method

Mathematics Subject Classification ID

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

Related Items (1)

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

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