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effective implementation of legendre polynomials in pricing discretely monitored double barrier option
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نویسنده
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sobhani amirhossein ,beheshti mohammad hossein
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منبع
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هفتمين سمينار آناليز تابعي و كابردهاي آن - 1401 - دوره : 7 - هفتمین سمینار آنالیز تابعی و کابردهای آن - کد همایش: 01220-10879 - صفحه:0 -0
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چکیده
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In the present paper, legendre polynomials are effectivelyimplemented in pricing discrete double barrier options which are commonly done through recursive solving black-scholes pdes in the monitoring intervals. by using orthogonal projection based on legendrepolynomials, we could obtain an operational matrix to approximate theprice of the option.
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کلیدواژه
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pricing option ,discretely monitoring ,legendre polynomials ,projection method
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آدرس
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, iran, , iran
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Authors
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