scholarly journals Numerical method for discrete double barrier option pricing with time-dependent parameters

2015 ◽  
Vol 70 (8) ◽  
pp. 2006-2013 ◽  
Author(s):  
R. Farnoosh ◽  
Amirhossein Sobhani ◽  
Hamidreza Rezazadeh ◽  
Mohammad Hossein Beheshti
Keyword(s):  
Option Pricing ◽  
Numerical Method ◽  
Time Dependent ◽  
Barrier Option ◽  
Double Barrier ◽  
Barrier Option Pricing ◽  
Double Barrier Option

A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters

2015 ◽  
Vol 48 (1) ◽  
pp. 131-145 ◽  
Author(s):  
Rahman Farnoosh ◽  
Hamidreza Rezazadeh ◽  
Amirhossein Sobhani ◽  
M. Hossein Beheshti
Keyword(s):  
Option Pricing ◽  
Numerical Method ◽  
Time Dependent ◽  
Barrier Option ◽  
Barrier Option Pricing

scholarly journals Numerical method for pricing discretely monitored double barrier option by orthogonal projection method

2021 ◽  
Vol 6 (6) ◽  
pp. 5750-5761
Author(s):  
Kazem Nouri ◽  
◽  
Milad Fahimi ◽  
Leila Torkzadeh ◽  
Dumitru Baleanu ◽  
...  
Keyword(s):  
Numerical Method ◽  
Projection Method ◽  
Orthogonal Projection ◽  
Barrier Option ◽  
Double Barrier ◽  
Double Barrier Option

A numerical method for pricing discrete double barrier option by Chebyshev polynomials

2020 ◽  
Vol 14 (1) ◽  
pp. 91-96
Author(s):  
Fatemeh Kamalzadeh ◽  
Rahman Farnoosh ◽  
Kianoosh Fathi
Keyword(s):  
Numerical Method ◽  
Chebyshev Polynomials ◽  
Barrier Option ◽  
Double Barrier ◽  
Double Barrier Option

scholarly journals Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

2021 ◽  
Author(s):  
Luca Vincenzo Ballestra
Keyword(s):  
Finite Difference ◽  
Optimization Procedure ◽  
Richardson Extrapolation ◽  
Mesh Optimization ◽  
Option Prices ◽  
Barrier Option ◽  
Double Barrier ◽  
Finite Difference Approximations ◽  
Barrier Option Pricing ◽  
Richardson Extrapolation Technique

AbstractWe show that the performances of the finite difference method for double barrier option pricing can be strongly enhanced by applying both a repeated Richardson extrapolation technique and a mesh optimization procedure. In particular, first we construct a space mesh that is uniform and aligned with the discontinuity points of the solution being sought. This is accomplished by means of a suitable transformation of coordinates, which involves some parameters that are implicitly defined and whose existence and uniqueness is theoretically established. Then, a finite difference scheme employing repeated Richardson extrapolation in both space and time is developed. The overall approach exhibits high efficacy: barrier option prices can be computed with accuracy close to the machine precision in less than one second. The numerical simulations also reveal that the improvement over existing methods is due to the combination of the mesh optimization and the repeated Richardson extrapolation.

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