3 papers
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
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…
stat.CO2017
An orthogonal basis expansion method for solving path-independent stochastic differential equations
Rahman Farnoosh, Amirhossein Sobhani, Hamidreza Rezazadeh
In this article, we present an orthogonal basis expansion method for solving stochastic differential equations with a path-independent solution of the form . For…