Numerical Method for Pricing Discretely Monitored Double Barrier Option by Orthogonal Projection Method
| dc.contributor.author | Fahimi, Milad | |
| dc.contributor.author | Torkzadeh, Leila | |
| dc.contributor.author | Baleanu, Dumitru | |
| dc.contributor.author | Nouri, Kazem | |
| dc.date.accessioned | 2022-08-23T08:00:41Z | |
| dc.date.accessioned | 2025-09-18T12:47:32Z | |
| dc.date.available | 2022-08-23T08:00:41Z | |
| dc.date.available | 2025-09-18T12:47:32Z | |
| dc.date.issued | 2021 | |
| dc.description | Fahimi, Milad/0000-0003-3606-7007; Torkzadeh, Leila/0000-0002-2504-4048; Nouri, Kazem/0000-0002-7922-5848 | en_US |
| dc.description.abstract | In this paper, we consider discretely monitored double barrier option based on the Black-Scholes partial differential equation. In this scenario, the option price can be computed recursively upon the heat equation solution. Thus we propose a numerical solution by projection method. We implement this method by considering the Chebyshev polynomials of the second kind. Finally, numerical examples are carried out to show accuracy of the presented method and demonstrate acceptable accordance of our method with other benchmark methods. | en_US |
| dc.identifier.citation | Nouri, Kazem; Fahimi, Milad; Torkzadeh, Leila et al. (2021). "Numerical method for pricing discretely monitored double barrier option by orthogonal projection method". AIMS MATHEMATICS. Vol. 6. No. 6. pp. 5750-5761. | en_US |
| dc.identifier.doi | 10.3934/math.2021339 | |
| dc.identifier.issn | 2473-6988 | |
| dc.identifier.scopus | 2-s2.0-85103055882 | |
| dc.identifier.uri | https://doi.org/10.3934/math.2021339 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/11835 | |
| dc.language.iso | en | en_US |
| dc.publisher | Amer inst Mathematical Sciences-aims | en_US |
| dc.relation.ispartof | AIMS Mathematics | |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Double Barrier Option | en_US |
| dc.subject | Orthogonal Projection | en_US |
| dc.subject | Chebyshev Polynomial | en_US |
| dc.subject | Black-Scholes Model | en_US |
| dc.title | Numerical Method for Pricing Discretely Monitored Double Barrier Option by Orthogonal Projection Method | en_US |
| dc.title | Numerical method for pricing discretely monitored double barrier option by orthogonal projection method | tr_TR |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Fahimi, Milad/0000-0003-3606-7007 | |
| gdc.author.id | Torkzadeh, Leila/0000-0002-2504-4048 | |
| gdc.author.id | Nouri, Kazem/0000-0002-7922-5848 | |
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| gdc.author.wosid | Fahimi, Milad/Aax-5130-2020 | |
| gdc.author.wosid | Nouri, Kazem/Hge-0958-2022 | |
| gdc.author.wosid | Baleanu, Dumitru/B-9936-2012 | |
| gdc.author.wosid | Torkzadeh, Leila/Hkn-6325-2023 | |
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| gdc.description.department | Çankaya University | en_US |
| gdc.description.departmenttemp | [Nouri, Kazem; Fahimi, Milad; Torkzadeh, Leila] Semnan Univ, Fac Math Stat & Comp Sci, Dept Math, POB 35195-363, Semnan, Iran; [Baleanu, Dumitru] Cankaya Univ, Fac Arts & Sci, Dept Math, Ankara, Turkey; [Baleanu, Dumitru] Inst Space Sci, Magurele, Romania | en_US |
| gdc.description.endpage | 5761 | en_US |
| gdc.description.issue | 6 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
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| gdc.description.startpage | 5750 | en_US |
| gdc.description.volume | 6 | en_US |
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| gdc.oaire.keywords | orthogonal projection | |
| gdc.oaire.keywords | double barrier option | |
| gdc.oaire.keywords | QA1-939 | |
| gdc.oaire.keywords | chebyshev polynomial | |
| gdc.oaire.keywords | black-scholes model | |
| gdc.oaire.keywords | Mathematics | |
| gdc.oaire.keywords | Numerical methods (including Monte Carlo methods) | |
| gdc.oaire.keywords | Black-Scholes model | |
| gdc.oaire.keywords | Chebyshev polynomial | |
| gdc.oaire.keywords | Derivative securities (option pricing, hedging, etc.) | |
| gdc.oaire.keywords | PDEs in connection with game theory, economics, social and behavioral sciences | |
| gdc.oaire.keywords | Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs | |
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