A hybrid finite difference method for pricing two-asset double barrier options
type: Item
instance of: scholarly article
title: A hybrid finite difference method for pricing two-asset double barrier options
zbMATH Open document ID: 1395.91499
DOI: 10.1155/2015/692695
author: Y. Aharonov
published in: Mathematical Problems in Engineering
publication date: 2018-08-27T00:00:00Z
review text: Summary: The pricing of the two-asset double barrier option is modeled as an initial-boundary value problem of the two-dimensional Black-Scholes partial differential equation. We use the hybrid finite different method to solve the problem. The hybrid method is a combination of the Laplace transform and a finite difference method. It is more efficient than a traditional finite difference method to obtain a solution without a step-by-step process. The method is implemented on a computer. Two numerical examples are calculated to verify the performance of the hybrid method. In our numerical examples, the convergence rate of the method is approximately two. We conclude that the method is efficient for pricing two-asset barrier options.
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6927002
Wikidata QID: Q59118944
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2015/692695
OpenAlex ID: W1984763264
cites work: The pricing of options and corporate liabilities
cites work: Hybrid Laplace transform/finite element method for one-dimensional transient heat conduction problems
cites work: Hybrid Laplace transform/finite difference method for transient heat conduction problems
cites work: Pricing Options With Curved Boundaries1
cites work: PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
cites work: Pricing double barrier options using Laplace transforms
cites work: Barrier option pricing: a hybrid method approach
cites work: Q4794126
cites work: Q3433874
cites work: A method for the numerical inversion of Laplace transforms
cites work: Numerical Inversion of Laplace Transforms: An Efficient Improvement to Dubner and Abate's Method
description: scientific article; zbMATH DE number 6927002