Citation
Wu, Y. and Koo, L. F. and Wong, T. J. and Mat Jusoh, N. H.
(2026)
Numerical methods for moving barrier option pricing.
Mathematical Modeling and Computing, 13 (3).
pp. 752-758.
ISSN 2312-9794; eISSN: 2415-3788
Abstract
Moving barrier options are a class of time-dependent barrier options whose pricing poses significant computational challenges. Focusing on the down-and-out call option, this paper develops a finite difference scheme for such moving barrier options and employs the binomial tree method to solve the pricing problem. Furthermore, the equivalence between these two numerical methods is established. Numerical experiments are also conducted to validate the theoretical results.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Subject: | Computational Mathematics |
| Subject: | Computational Theory and Mathematics |
| Divisions: | Institute for Mathematical Research Faculty of Humanities, Management and Science |
| DOI Number: | https://doi.org/10.23939/mmc2026.03.752 |
| Publisher: | Lviv Polytechnic National University |
| Keywords: | Binomial tree method; Black–scholes model; Finite difference method; Moving barrier option pricing |
| Sustainable Development Goals (SDGs): | SDG 9: Industry, Innovation and Infrastructure, SDG 17: Partnerships for the Goals, SDG 8: Decent Work and Economic Growth |
| Depositing User: | Ms. Siti Radziah Mohamed@mahmod |
| Date Deposited: | 27 Aug 2026 01:28 |
| Last Modified: | 27 Aug 2026 01:28 |
| Altmetrics: | https://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.23939/mmc2026.03.752 |
| URI: | http://psasir.upm.edu.my/id/eprint/128040 |
| Statistic Details: | View Download Statistic |
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