A Hybrid Finite Difference Method for Pricing Two-Asset Double Barrier Options
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 fin...
Main Authors: | Y. L. Hsiao, S. Y. Shen, Andrew M. L. Wang |
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Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2015-01-01
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Series: | Mathematical Problems in Engineering |
Online Access: | http://dx.doi.org/10.1155/2015/692695 |
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