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Numerical method for pricing discretely monitored double barrier option by orthogonal projection method

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dc.contributor.author Baleanu, Dumitru
dc.date.accessioned 2022-08-23T08:00:41Z
dc.date.available 2022-08-23T08:00:41Z
dc.date.issued 2021-07-28
dc.identifier.citation Nouri, Kazem; Fahimi, Milad; Torkzadeh, Leila et al. (2021). "Numerical method for pricing discretely monitored double barrier option by orthogonal projection method". AIMS MATHEMATICS. Vol. 6. No. 6. pp. 5750-5761. tr_TR
dc.identifier.issn 2473-6988
dc.identifier.uri http://hdl.handle.net/20.500.12416/5736
dc.description.abstract In this paper, we consider discretely monitored double barrier option based on the Black-Scholes partial differential equation. In this scenario, the option price can be computed recursively upon the heat equation solution. Thus we propose a numerical solution by projection method. We implement this method by considering the Chebyshev polynomials of the second kind. Finally, numerical examples are carried out to show accuracy of the presented method and demonstrate acceptable accordance of our method with other benchmark methods. tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.3934/math.2021339 tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject double barrier option; orthogonal projection;Chebyshev polynomial; black-Scholes model tr_TR
dc.title Numerical method for pricing discretely monitored double barrier option by orthogonal projection method tr_TR
dc.type article tr_TR
dc.relation.journal AIMS MATHEMATICS tr_TR
dc.contributor.authorID 56389 tr_TR
dc.identifier.volume 6 tr_TR
dc.identifier.issue 6 tr_TR
dc.identifier.startpage 5750 tr_TR
dc.identifier.endpage 5761 tr_TR
dc.contributor.department Çankaya Üniversitesi, Fen-Edebiyat Fakültesi, Matematik Bölümü tr_TR


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