2015
DOI: 10.1016/j.camwa.2015.08.016
|View full text |Cite
|
Sign up to set email alerts
|

Numerical method for discrete double barrier option pricing with time-dependent parameters

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
5

Citation Types

0
13
0

Year Published

2017
2017
2022
2022

Publication Types

Select...
9

Relationship

1
8

Authors

Journals

citations
Cited by 22 publications
(13 citation statements)
references
References 11 publications
0
13
0
Order By: Relevance
“…It has been extensively used by options traders and is known to result in considerable growth in options trading due to its effectiveness and accuracy in predicting the options prices. More recently, some techniques have been proposed for numerically approximating the B-S model such as Farnoosh et al (2015Farnoosh et al ( , 2016Farnoosh et al ( , 2017, Golbabai and Mohebianfar (2017a, b), Golbabai et al (2012Golbabai et al ( , 2014, Rad et al (2015), Rashidinia and Jamalzadeh (2017a, b), and Sobhani and Milev (2018).…”
Section: Introductionmentioning
confidence: 99%
“…It has been extensively used by options traders and is known to result in considerable growth in options trading due to its effectiveness and accuracy in predicting the options prices. More recently, some techniques have been proposed for numerically approximating the B-S model such as Farnoosh et al (2015Farnoosh et al ( , 2016Farnoosh et al ( , 2017, Golbabai and Mohebianfar (2017a, b), Golbabai et al (2012Golbabai et al ( , 2014, Rad et al (2015), Rashidinia and Jamalzadeh (2017a, b), and Sobhani and Milev (2018).…”
Section: Introductionmentioning
confidence: 99%
“…e most famous PDE in finance is the Black-Scholes (B-S) model, which is broadly adopted for option pricing. So far, studies have presented different approaches for finding the numerical solution of this model and its variation when the exact form does not exist [5][6][7][8][9][10][11][12][13]. By using tick-by-tick data, Cartea and del-Castillo-Negrete [14] found that the value of European-style options satisfies a FPDE containing a nonlocal operator in time-to-maturity known as the Caputo fractional derivative.…”
Section: Introductionmentioning
confidence: 99%
“…Refs. [12][13][14] show that the pricing of derivatives under discrete sampling assumption is more complex than continuous sampling assumption. The results of variance swaps with discrete sampling are usually obtained based on the stochastic volatility model.…”
Section: Introductionmentioning
confidence: 99%