Author/Authors :
Farnoosh, Rahman School of Mathematics - Iran University of Science and Technology,Tehran , Rezazadeh, Hamidreza Department of Mathematics - Karaj Branch - Islamic Azad University, Karaj , Sobhani, Amirhossein School of Mathematics - Iran University of Science and Technology,Tehran , Hassanpour, Masoud Department of Mathematics - Faculty of Mathematics - Statistics and Computer Science - Semnan University, Semnan
Abstract :
In this article, we propose a numerical algorithm for computing price of discrete single and double
barrier option under the Black-Scholes model. In virtue of some general transformations, the partial
diffierential equations of option pricing in diffierent monitoring dates are converted into simple diffiusion
equations. The present method is fast compared to alternative numerical methods presented in
previous papers.
