Effective implementation of sine-cosine wavelet in pricing discrete double barrier option | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 29، دوره 16، شماره 2، اردیبهشت 2025، صفحه 365-371 اصل مقاله (416.93 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2023.31435.4629 | ||
| نویسندگان | ||
| Amir Hossein Sobhani* 1؛ Mohammad Hossein Beheshti2 | ||
| 1Department of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran | ||
| 2Department of Biostatistics and Epidemiology, Faculty of Medicine, Tehran Medical Sciences, Islamic Azad University, Tehran, Iran | ||
| چکیده | ||
| In this article, the problem of pricing discrete double barrier options which only monitored at specific times is investigated. According to the Black-Scholes framework, the option price would be obtained from recursively solving the Black-Sholes partial differential equations on the monitoring intervals. In this way, the sine-cosine wavelet approach is applied in approximating the yielded analytical expression. Finally, an operational matrix form is derived which is highly comparable with other methods. According to the method of the present paper, the computational time is nearly fixed against increases in the number of monitoring dates. | ||
| کلیدواژهها | ||
| Barrier Options؛ Black-Scholes Framework؛ sine-cosine Wavelet؛ Orthogonal Projection | ||
| مراجع | ||
|
| ||
|
آمار تعداد مشاهده مقاله: 1,122 تعداد دریافت فایل اصل مقاله: 758 |
||
| تعداد نشریات | 22 |
| تعداد شمارهها | 724 |
| تعداد مقالات | 10,459 |
| تعداد مشاهده مقاله | 73,378,733 |
| تعداد دریافت فایل اصل مقاله | 64,738,634 |