Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process

	Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
International Journal of Nonlinear Analysis and Applications
مقاله 1، دوره 9، شماره 2، اسفند 2018، صفحه 1-7 اصل مقاله (372.41 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22075/ijnaa.2017.415.1060
نویسندگان
Rahman Farnoosh^* ¹؛ Hamidreza Rezazadeh²؛ Amirhossein Sobhani¹؛ Masoud Hasanpour³
¹School of Mathematics, Iran University of Science and Technology, 16844 Tehran, Iran
²Department of Mathematics, Islamic Azad University Karaj Branch
³Department of Mathematics, Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran
چکیده
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.
کلیدواژه‌ها
Discrete Barrier Option؛ emph{Black-Scholes} Model؛ Constant Parameters
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