An Analytically Modified Finite Difference Scheme for Pricing Discretely Monitored Options

Finite difference methods are commonly used in the pricing of discretely monitored exotic options in the Black–Scholes framework, but they tend to converge slowly due to discontinuities contained in terminal conditions. We present an effective analytical modification to existing finite difference me...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:	Mathematics
المؤلفون الرئيسيون:	Guo Luo, Min Huang
التنسيق:	مقال
اللغة:	الإنجليزية
منشور في:	MDPI AG 2025-01-01
الموضوعات:	discrete option pricing finite difference method analytical modification autocallable structured product barrier option snowball option
الوصول للمادة أونلاين:	https://www.mdpi.com/2227-7390/13/2/241

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