Numerical method for discrete double barrier option pricing with time-dependent parameters
type: Item
instance of: scholarly article
title: Numerical method for discrete double barrier option pricing with time-dependent parameters
zbMATH Open document ID: 1443.91329
author: Amirhossein Sobhani
author: Hamidreza Rezazadeh
author: M. Beheshti
author: Rahman Farnoosh
publication date: 2020-10-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M99
Mathematics Subject Classification ID: 35K10
Mathematics Subject Classification ID: 65D30
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7258661
zbMATH Keywords: double barrier option
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: discrete monitoring
zbMATH Keywords: time-dependent parameters
zbMATH Keywords: option pricing
zbMATH Keywords: greeks
MaRDI profile type: Publication
full work available at URL: j.camwa.2015.08.016
OpenAlex ID: W2192666351
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cites work: An alternative approach to solving the Black-Scholes equation with time-varying parameters
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cites work: An explicit finite difference approach to the pricing of barrier options
DOI: 10.1016/J.CAMWA.2015.08.016
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7258661