Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
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Abstract:
In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{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.
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Journal title
volume 9 issue 2
pages 1- 7
publication date 2018-12-01
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