A hybrid finite difference method for pricing two-asset double barrier options

Y. L. Hsiao, S. Y. Shen, Andrew M.L. Wang

研究成果: Article同行評審

1 引文 斯高帕斯(Scopus)

摘要

The pricing of the two-asset double barrier option is modeled as an initial-boundary value problem of the two-dimensional Black-Scholes partial differential equation. We use the hybrid finite different method to solve the problem. The hybrid method is a combination of the Laplace transform and a finite difference method. It is more efficient than a traditional finite difference method to obtain a solution without a step-by-step process. The method is implemented on a computer. Two numerical examples are calculated to verify the performance of the hybrid method. In our numerical examples, the convergence rate of the method is approximately two. We conclude that the method is efficient for pricing two-asset barrier options.

原文English
文章編號692695
期刊Mathematical Problems in Engineering
2015
DOIs
出版狀態Published - 2015

All Science Journal Classification (ASJC) codes

  • 數學(全部)
  • 工程 (全部)

指紋

深入研究「A hybrid finite difference method for pricing two-asset double barrier options」主題。共同形成了獨特的指紋。

引用此