A Hybrid Finite Difference Method for Pricing Two-Asset Double Barrier Options

被引：3

作者：

Hsiao, Y. L. ^{[1
]}

Shen, S. Y. ^{[2
]}

Wang, Andrew M. L. ^{[3
]}

机构：

[1] Natl Dong Hwa Univ, Dept Finance, Hualien 97401, Taiwan

[2] Natl Cheng Kung Univ, Dept Math, Tainan 70101, Taiwan

[3] Natl Cheng Kung Univ, Grad Inst Finance & Banking, Tainan 70101, Taiwan

来源：

MATHEMATICAL PROBLEMS IN ENGINEERING | 2015年 / 2015卷

关键词：

NUMERICAL INVERSION; LAPLACE TRANSFORM;

D O I：

10.1155/2015/692695

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The pricing of the two-asset double barrier option is modeled as an initial-boundary value problem of the two-dimensional BlackScholes partial differential equation. We use the hybrid finite different method to solve the problem. The hybrid method is a combination of the Laplace transformand a finite difference method. It ismore efficient than a traditional finite difference method to obtain a solutionwithout a step-by-step process. Themethod is implemented on a computer. Two numerical examples are calculated to verify the performance of the hybrid method. In our numerical examples, the convergence rate of the method is approximately two. We conclude that the method is efficient for pricing two-asset barrier options.

引用

页数：7

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