A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices

In modelling financial derivatives, the pricing of barrier options are complicated as a result of their path-dependency and discontinuous payoffs. In the case of rebate knock-out barrier options, discount factors known as rebates are introduced, which are payable to the option holder when the barrie...

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Bibliographic Details
Main Authors: Nneka Umeorah, Phillip Mashele
Format: Article
Published: Taylor & Francis Group 2019-01-01
Series:Cogent Economics & Finance
Online Access:http://dx.doi.org/10.1080/23322039.2019.1598835