Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process

DOI10.22075/IJNAA.2017.415.1060zbMath1412.47117OpenAlexW2904779583MaRDI QIDQ4626177

Amirhossein Sobhani, M. Hasanpour, Hamidreza Rezazadeh, Rahman Farnoosh

Publication date: 27 February 2019

Full work available at URL: https://ijnaa.semnan.ac.ir/article_3490_e9dc9637e7faed498b3c25279b93fb11.pdf

zbMATH Keywords

Black-Scholes modeldiscrete barrier optionconstant parameters

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fixed-point theorems (47H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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