英文标题：
《A Numerical Method for Pricing Discrete Double Barrier Option by
Legendre Multiwavelet》
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作者：
Amirhossein Sobhani, Mariyan Milev
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最新提交年份：
2017
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英文摘要：
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the heat equation solution. These recursive solutions are approximated by using Legendre multiwavelets as orthonormal basis functions and expressed in operational matrix form. The most important feature of this method is that its CPU time is nearly invariant when monitoring dates increase. Besides, the rate of convergence of presented algorithm was obtained. The numerical results verify the validity and efficiency of the numerical method.
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中文摘要：
本文提出了一种离散双障碍期权定价的快速数值算法。根据Black-Scholes模型，可以在热方程解的基础上，通过递推公式计算每个监测日的期权价格。这些递归解用勒让德多小波作为正交基函数进行逼近，并用运算矩阵形式表示。该方法最重要的特点是，当监视日期增加时，其CPU时间几乎不变。此外，还得到了该算法的收敛速度。数值结果验证了数值方法的有效性和有效性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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