Effective implementation of sine-cosine wavelet in pricing discrete double barrier option

Document Type : Research Paper

Authors

1 Department of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran

2 Department of Biostatistics and Epidemiology, Faculty of Medicine, Tehran Medical Sciences, Islamic Azad University, Tehran, Iran

10.22075/ijnaa.2023.31435.4629

Abstract

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.

Keywords

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Articles in Press, Corrected Proof
Available Online from 29 February 2024
  • Receive Date: 05 August 2023
  • Revise Date: 26 August 2023
  • Accept Date: 05 November 2023