72 citations
- Bulgarian Academy of SciencesBG5 papers
- Johannes Gutenberg University MainzDE4 papers
- American University of BeirutLB1 paper
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- Institut Jean Le Rond d'AlembertFR1 paper
- Iran University of Science and TechnologyIR1 paper
- Istituto per le Applicazioni del Calcolo Mauro PiconeIT1 paper
- Max Planck Institute for Polymer ResearchDE1 paper
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q-fin.CP2017
A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node
Amirhossein Sobhani, Mariyan Milev
In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scho…
q-fin.CP2017★ 16 cited
A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet
Amirhossein Sobhani, Mariyan Milev
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitor…