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.
Farnoosh, R., Rezazadeh, H., Sobhani, A. & Hasanpour, M. (2018). Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process. International Journal of Nonlinear Analysis and Applications, 9(2), 1–7. https://doi.org/10.22075/ijnaa.2017.415.1060
MLA
Farnoosh, R., Rezazadeh, H., Sobhani, A., & Hasanpour, M. "Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process", International Journal of Nonlinear Analysis and Applications, 9, 2, 2018, 1–7. doi: 10.22075/ijnaa.2017.415.1060
HARVARD
Farnoosh, R., Rezazadeh, H., Sobhani, A., & Hasanpour, M. (2018). 'Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process', International Journal of Nonlinear Analysis and Applications, 9(2), pp. 1–7. doi: 10.22075/ijnaa.2017.415.1060
CHICAGO
Farnoosh, R., Rezazadeh, H., Sobhani, A. & Hasanpour, M., "Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process." International Journal of Nonlinear Analysis and Applications, 9 2 (2018): 1–7, doi: 10.22075/ijnaa.2017.415.1060
VANCOUVER
Farnoosh R., Rezazadeh H., Sobhani A., Hasanpour M. Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process. IJNAA. 2018;9(2):1–7. doi: 10.22075/ijnaa.2017.415.1060
International Journal of Nonlinear Analysis and Applications