Efficient and fast numerical method for pricing discrete double barrier option by projection method
In this paper, we introduce a new and considerably fast numerical method based on projection method in pricing discrete double barrier option. According to the Black–Scholes framework, the price of option in each monitoring dates is the solution of well-known partial differential equation that can b...
Gespeichert in:
| Veröffentlicht in: | Computers & mathematics with applications (1987) 2017-04, Vol.73 (7), p.1539-1545 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1545 |
|---|---|
| container_issue | 7 |
| container_start_page | 1539 |
| container_title | Computers & mathematics with applications (1987) |
| container_volume | 73 |
| creator | Farnoosh, Rahman Sobhani, Amirhossein Beheshti, Mohammad Hossein |
| description | In this paper, we introduce a new and considerably fast numerical method based on projection method in pricing discrete double barrier option. According to the Black–Scholes framework, the price of option in each monitoring dates is the solution of well-known partial differential equation that can be expressed recursively upon the heat equation solution. These recursive solutions are approximated by projection method and expressed in operational matrix form. The most important advantage of this method is that its computational time is nearly fixed against monitoring dates increase. Afterward, in implementing projection method we use Legendre polynomials as an orthogonal basis. Finally, the numerical results show the validity and efficiency of presented method in comparison with some others. |
| doi_str_mv | 10.1016/j.camwa.2017.01.019 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_1927136143</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0898122117300494</els_id><sourcerecordid>1927136143</sourcerecordid><originalsourceid>FETCH-LOGICAL-c376t-3be16e6ed7645f256e5995ff72118a16427ac611d34d7ec7d050f546efe860383</originalsourceid><addsrcrecordid>eNp9UE1LAzEQDaJg_fgFXgKed81sdpPdgwcp9QMKXvQc0mSiWbqbmmyV_nvT1rMwMMzjvZl5j5AbYCUwEHd9afTwo8uKgSwZ5OpOyAxayQspRHtKZqzt2gKqCs7JRUo9Y6zmFZsRs3DOG4_jRPVoqdNpouN2wOiNXtMBp8-Q0RDpJiN-_KDWJxNxQmrDdrVGutIxeow0bCYfRrraZWbo0Rymo_6KnDm9Tnj91y_J--Pibf5cLF-fXuYPy8JwKaaCrxAECrRS1I2rGoFN1zXOyQqg1SDqSmojACyvrUQjLWuYa2qBDlvBeMsvye1xb_7ga4tpUn3YxjGfVNBVEriAmmcWP7JMDClFdCpbG3TcKWBqn6bq1SFNtU9TMcjVZdX9UYXZwHc2rNI-NYPWx2xW2eD_1f8CMVV_TQ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1927136143</pqid></control><display><type>article</type><title>Efficient and fast numerical method for pricing discrete double barrier option by projection method</title><source>Access via ScienceDirect (Elsevier)</source><source>EZB-FREE-00999 freely available EZB journals</source><creator>Farnoosh, Rahman ; Sobhani, Amirhossein ; Beheshti, Mohammad Hossein</creator><creatorcontrib>Farnoosh, Rahman ; Sobhani, Amirhossein ; Beheshti, Mohammad Hossein</creatorcontrib><description>In this paper, we introduce a new and considerably fast numerical method based on projection method in pricing discrete double barrier option. According to the Black–Scholes framework, the price of option in each monitoring dates is the solution of well-known partial differential equation that can be expressed recursively upon the heat equation solution. These recursive solutions are approximated by projection method and expressed in operational matrix form. The most important advantage of this method is that its computational time is nearly fixed against monitoring dates increase. Afterward, in implementing projection method we use Legendre polynomials as an orthogonal basis. Finally, the numerical results show the validity and efficiency of presented method in comparison with some others.</description><identifier>ISSN: 0898-1221</identifier><identifier>EISSN: 1873-7668</identifier><identifier>DOI: 10.1016/j.camwa.2017.01.019</identifier><language>eng</language><publisher>Oxford: Elsevier Ltd</publisher><subject>Black–Scholes model ; Double barrier option ; Legendre polynomials ; Monitoring ; Numerical analysis ; Option pricing ; Partial differential equations ; Polynomials ; Pricing ; Projection ; Projection methods ; Recursive methods ; Studies</subject><ispartof>Computers & mathematics with applications (1987), 2017-04, Vol.73 (7), p.1539-1545</ispartof><rights>2017 Elsevier Ltd</rights><rights>Copyright Elsevier BV Apr 1, 2017</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c376t-3be16e6ed7645f256e5995ff72118a16427ac611d34d7ec7d050f546efe860383</citedby><cites>FETCH-LOGICAL-c376t-3be16e6ed7645f256e5995ff72118a16427ac611d34d7ec7d050f546efe860383</cites><orcidid>0000-0001-5277-4655</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.camwa.2017.01.019$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,27924,27925,45995</link.rule.ids></links><search><creatorcontrib>Farnoosh, Rahman</creatorcontrib><creatorcontrib>Sobhani, Amirhossein</creatorcontrib><creatorcontrib>Beheshti, Mohammad Hossein</creatorcontrib><title>Efficient and fast numerical method for pricing discrete double barrier option by projection method</title><title>Computers & mathematics with applications (1987)</title><description>In this paper, we introduce a new and considerably fast numerical method based on projection method in pricing discrete double barrier option. According to the Black–Scholes framework, the price of option in each monitoring dates is the solution of well-known partial differential equation that can be expressed recursively upon the heat equation solution. These recursive solutions are approximated by projection method and expressed in operational matrix form. The most important advantage of this method is that its computational time is nearly fixed against monitoring dates increase. Afterward, in implementing projection method we use Legendre polynomials as an orthogonal basis. Finally, the numerical results show the validity and efficiency of presented method in comparison with some others.</description><subject>Black–Scholes model</subject><subject>Double barrier option</subject><subject>Legendre polynomials</subject><subject>Monitoring</subject><subject>Numerical analysis</subject><subject>Option pricing</subject><subject>Partial differential equations</subject><subject>Polynomials</subject><subject>Pricing</subject><subject>Projection</subject><subject>Projection methods</subject><subject>Recursive methods</subject><subject>Studies</subject><issn>0898-1221</issn><issn>1873-7668</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2017</creationdate><recordtype>article</recordtype><recordid>eNp9UE1LAzEQDaJg_fgFXgKed81sdpPdgwcp9QMKXvQc0mSiWbqbmmyV_nvT1rMwMMzjvZl5j5AbYCUwEHd9afTwo8uKgSwZ5OpOyAxayQspRHtKZqzt2gKqCs7JRUo9Y6zmFZsRs3DOG4_jRPVoqdNpouN2wOiNXtMBp8-Q0RDpJiN-_KDWJxNxQmrDdrVGutIxeow0bCYfRrraZWbo0Rymo_6KnDm9Tnj91y_J--Pibf5cLF-fXuYPy8JwKaaCrxAECrRS1I2rGoFN1zXOyQqg1SDqSmojACyvrUQjLWuYa2qBDlvBeMsvye1xb_7ga4tpUn3YxjGfVNBVEriAmmcWP7JMDClFdCpbG3TcKWBqn6bq1SFNtU9TMcjVZdX9UYXZwHc2rNI-NYPWx2xW2eD_1f8CMVV_TQ</recordid><startdate>20170401</startdate><enddate>20170401</enddate><creator>Farnoosh, Rahman</creator><creator>Sobhani, Amirhossein</creator><creator>Beheshti, Mohammad Hossein</creator><general>Elsevier Ltd</general><general>Elsevier BV</general><scope>AAYXX</scope><scope>CITATION</scope><scope>7SC</scope><scope>7TB</scope><scope>8FD</scope><scope>FR3</scope><scope>JQ2</scope><scope>KR7</scope><scope>L7M</scope><scope>L~C</scope><scope>L~D</scope><orcidid>https://orcid.org/0000-0001-5277-4655</orcidid></search><sort><creationdate>20170401</creationdate><title>Efficient and fast numerical method for pricing discrete double barrier option by projection method</title><author>Farnoosh, Rahman ; Sobhani, Amirhossein ; Beheshti, Mohammad Hossein</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c376t-3be16e6ed7645f256e5995ff72118a16427ac611d34d7ec7d050f546efe860383</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2017</creationdate><topic>Black–Scholes model</topic><topic>Double barrier option</topic><topic>Legendre polynomials</topic><topic>Monitoring</topic><topic>Numerical analysis</topic><topic>Option pricing</topic><topic>Partial differential equations</topic><topic>Polynomials</topic><topic>Pricing</topic><topic>Projection</topic><topic>Projection methods</topic><topic>Recursive methods</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Farnoosh, Rahman</creatorcontrib><creatorcontrib>Sobhani, Amirhossein</creatorcontrib><creatorcontrib>Beheshti, Mohammad Hossein</creatorcontrib><collection>CrossRef</collection><collection>Computer and Information Systems Abstracts</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>Technology Research Database</collection><collection>Engineering Research Database</collection><collection>ProQuest Computer Science Collection</collection><collection>Civil Engineering Abstracts</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>Computer and Information Systems Abstracts Academic</collection><collection>Computer and Information Systems Abstracts Professional</collection><jtitle>Computers & mathematics with applications (1987)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Farnoosh, Rahman</au><au>Sobhani, Amirhossein</au><au>Beheshti, Mohammad Hossein</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Efficient and fast numerical method for pricing discrete double barrier option by projection method</atitle><jtitle>Computers & mathematics with applications (1987)</jtitle><date>2017-04-01</date><risdate>2017</risdate><volume>73</volume><issue>7</issue><spage>1539</spage><epage>1545</epage><pages>1539-1545</pages><issn>0898-1221</issn><eissn>1873-7668</eissn><abstract>In this paper, we introduce a new and considerably fast numerical method based on projection method in pricing discrete double barrier option. According to the Black–Scholes framework, the price of option in each monitoring dates is the solution of well-known partial differential equation that can be expressed recursively upon the heat equation solution. These recursive solutions are approximated by projection method and expressed in operational matrix form. The most important advantage of this method is that its computational time is nearly fixed against monitoring dates increase. Afterward, in implementing projection method we use Legendre polynomials as an orthogonal basis. Finally, the numerical results show the validity and efficiency of presented method in comparison with some others.</abstract><cop>Oxford</cop><pub>Elsevier Ltd</pub><doi>10.1016/j.camwa.2017.01.019</doi><tpages>7</tpages><orcidid>https://orcid.org/0000-0001-5277-4655</orcidid><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0898-1221 |
| ispartof | Computers & mathematics with applications (1987), 2017-04, Vol.73 (7), p.1539-1545 |
| issn | 0898-1221 1873-7668 |
| language | eng |
| recordid | cdi_proquest_journals_1927136143 |
| source | Access via ScienceDirect (Elsevier); EZB-FREE-00999 freely available EZB journals |
| subjects | Black–Scholes model Double barrier option Legendre polynomials Monitoring Numerical analysis Option pricing Partial differential equations Polynomials Pricing Projection Projection methods Recursive methods Studies |
| title | Efficient and fast numerical method for pricing discrete double barrier option by projection method |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-19T12%3A59%3A55IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Efficient%20and%20fast%20numerical%20method%20for%20pricing%20discrete%20double%20barrier%20option%20by%20projection%20method&rft.jtitle=Computers%20&%20mathematics%20with%20applications%20(1987)&rft.au=Farnoosh,%20Rahman&rft.date=2017-04-01&rft.volume=73&rft.issue=7&rft.spage=1539&rft.epage=1545&rft.pages=1539-1545&rft.issn=0898-1221&rft.eissn=1873-7668&rft_id=info:doi/10.1016/j.camwa.2017.01.019&rft_dat=%3Cproquest_cross%3E1927136143%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1927136143&rft_id=info:pmid/&rft_els_id=S0898122117300494&rfr_iscdi=true |