scholarly journals Numerical Methods for Discrete Double Barrier Option Pricing Based on Merton Jump Diffusion Model

2017 ◽  
Vol 07 (03) ◽  
pp. 446-458
Author(s):  
Mingjia Li
Keyword(s):  
Numerical Methods ◽  
Option Pricing ◽  
Diffusion Model ◽  
Jump Diffusion ◽  
Barrier Option ◽  
Double Barrier ◽  
Jump Diffusion Model ◽  
Barrier Option Pricing ◽  
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

Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions

2017 ◽  
Vol 63 (11) ◽  
pp. 3961-3977 ◽  
Author(s):  
Michael C. Fu ◽  
Bingqing Li ◽  
Guozhen Li ◽  
Rongwen Wu
Keyword(s):  
Option Pricing ◽  
Diffusion Model ◽  
Jump Diffusion ◽  
Size Distributions ◽  
Jump Size ◽  
Jump Diffusion Model
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