Browsing by Subject "Finite difference method"
Now showing items 1-2 of 2
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A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices
(Taylor & Francis, 2019)In modelling financial derivatives, the pricing of barrier options are complicated as a result of their path-dependency and discontinuous payoffs. In the case of rebate knock-out barrier options, discount factors known ... -
Pricing barrier options with numerical methods
(North-West University, 2013)Barrier options are becoming more popular, mainly due to the reduced cost to hold a barrier option when compared to holding a standard call/put options, but exotic options are difficult to price since the payoff functions ...