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ArticleA numerical method for pricing discrete double barrier option by Legendre multiwavelet

Amirhossein Sobhani2017

OA

Articlebronze2017

A numerical method for pricing discrete double barrier option by Legendre multiwavelet

Amirhossein Sobhani · Mariyan Milev

15 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Mathematical functions and polynomials Numerical methods for differential equations

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References

2004Arbitrage Theory in Continuous Time 2008Mathematical Models of Financial Derivatives 1997A Continuity Correction for Discrete Barrier Options 1991Multinomial Approximating Models for Options with k State Variables 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions 2003Universal option valuation using quadrature methods 2000Pricing double barrier options using Laplace transforms 2005An exact analytical solution for discrete barrier options

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2017Efficient and fast numerical method for pricing discrete double barrier option by projection methodarticle · 13 shared references 2016Semi-analytical valuation for discrete barrier options under time-dependent Lévy processesarticle · 9 shared references 2013A Highly Accurate Finite Element Method to Price Discrete Double Barrier Optionsarticle · 8 shared references 2015Numerical method for discrete double barrier option pricing with time-dependent parametersarticle · 8 shared references 2009Numerical valuation of discrete double barrier optionsarticle · 7 shared references 2015A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parametersarticle · 6 shared references

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Year2017

Typearticle

Published2017-08-08

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations15

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2017.07.033

openalex_workW2607155152

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