Numerical method of pricing discretely monitored Barrier option.

Yicheng Hong Sungchul Lee Tianguo Li

Published in: J. Comput. Appl. Math. (2015)

Keyphrases

numerical methods
option pricing
black scholes model
differential equations
partial differential equations
numerical solution
boundary element method
finite element method
finite difference method
level set method
stock price
financial markets
high quality
dynamic pricing
approximation schemes
learning algorithm