Numerical method for discrete double barrier option pricing with time-dependent parameters
Computers & Mathematics with Applications(2015)
摘要
In this paper, the main purpose is pricing of discrete double barrier option under Black-Scholes framework with time dependent parameters. By some conventional transforms, in each monitoring interval, the problem is reduced to well-known Black-Scholes partial differential equations with convenient constant coefficient such that the solution can be expressed recursively upon the heat equation solution. Finally a numerical method is proposed to compute the obtained recursive formula efficiently. Also, the Greeks of contract are calculated.
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关键词
Double barrier option,Black–Scholes model,Discrete monitoring,Time-dependent parameters,Option pricing,Greeks
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