### AIMS Mathematics

2021, Issue 6: 5750-5761. doi: 10.3934/math.2021339
Research article

# Numerical method for pricing discretely monitored double barrier option by orthogonal projection method

• Received: 06 November 2020 Accepted: 08 January 2021 Published: 26 March 2021
• MSC : 34H10, 39A50, 92B05

• 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.

Citation: Kazem Nouri, Milad Fahimi, Leila Torkzadeh, Dumitru Baleanu. Numerical method for pricing discretely monitored double barrier option by orthogonal projection method[J]. AIMS Mathematics, 2021, 6(6): 5750-5761. doi: 10.3934/math.2021339

### Related Papers:

• 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.

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