scholarly journals Efficient and fast numerical method for pricing discrete double barrier option by projection method

2017 ◽  
Vol 73 (7) ◽  
pp. 1539-1545 ◽  
Author(s):  
Rahman Farnoosh ◽  
Amirhossein Sobhani ◽  
Mohammad Hossein Beheshti
Keyword(s):  
Numerical Method ◽  
Projection Method ◽  
Barrier Option ◽  
Double Barrier ◽  
Double Barrier Option

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 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

scholarly journals A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Nodes

2021 ◽  
Author(s):  
Amirhossein Sobhani ◽  
mariyan milev
Keyword(s):  
Numerical Method ◽  
Lagrange Interpolation ◽  
Integral Formula ◽  
Operational Matrix ◽  
Barrier Option ◽  
Double Barrier ◽  
Knock Out ◽  
Black Scholes Model ◽  
Important Benefit ◽  
Black Scholes

In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. With regard to the well-known Black-Scholes model, the price of an option in each monitoring date could be calculated by computing a recursive integral formula that is based on the heat equation solution. We have approximated these recursive solutions with the aid of Lagrange interpolation on Jacobi polynomial nodes. After that, an operational matrix, that makes our computation significantly fast, has been derived. In some theorems, the convergence of the presented method has been shown and the rate of convergence has been derived. The most important benefit of this method is that its complexity is very low and does not depend on the number of monitoring dates. The numerical results confirm the accuracy and efficiency of the presented numerical algorithm.

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