Pricing asset-or-nothing options using Haar wavelet

This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with respect to...

詳細記述

書誌詳細

出版年:	Mathematics and Modeling in Finance
主要な著者:	Saeed Vahdati, Foad Shokrollahi
フォーマット:	論文
言語:	英語
出版事項:	Allameh Tabataba'i University Press 2024-07-01
主題:	option pricing asset-or-nothing options haar wavelets black-scholes model error analysis
オンライン･アクセス:	https://jmmf.atu.ac.ir/article_17180_23ba57859db880d42ace030d692fae31.pdf