کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4641363 1341306 2010 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical valuation of discrete double barrier options
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Numerical valuation of discrete double barrier options
چکیده انگلیسی

In the present paper we explore the problem for pricing discrete barrier options utilizing the Black–Scholes model for the random movement of the asset price. We postulate the problem as a path integral calculation by choosing approach that is similar to the quadrature method. Thus, the problem is reduced to the estimation of a multi-dimensional integral whose dimension corresponds to the number of the monitoring dates.We propose a fast and accurate numerical algorithm for its valuation. Our results for pricing discretely monitored one and double barrier options are in agreement with those obtained by other numerical and analytical methods in Finance and literature. A desired level of accuracy is very fast achieved for values of the underlying asset close to the strike price or the barriers.The method has a simple computer implementation and it permits observing the entire life of the option.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 233, Issue 10, 15 March 2010, Pages 2468–2480
نویسندگان
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