Masoud Hasanpour
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran
[ 1 ] - Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
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 alterna...
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