|
|
|
|
Numerical algorithm for pricing of discrete barrier option in a Black-Scholes model
|
|
|
|
|
|
|
|
نویسنده
|
farnoosh rahman ,rezazadeh hamidreza ,sobhani amirhossein ,hassanpour masoud
|
|
منبع
|
international journal of nonlinear analysis and applications - 2018 - دوره : 9 - شماره : 2 - صفحه:1 -7
|
|
چکیده
|
In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the black-scholes model. in virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. the present method is fast compared to alternative numerical methods presented in previous papers.
|
|
کلیدواژه
|
Discrete barrier option ,Black-Scholes model ,Constant parameters
|
|
آدرس
|
iran university of science and technology, school of mathematics, Iran, islamic azad university, karaj branch, department of mathematics, Iran, iran university of science and technology, school of mathematics, Iran, semnan university, faculty of mathematics, statistics and computer science, department of mathematics, Iran
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Authors
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|