Abstract
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the heat equation solution. These recursive solutions are approximated by using Legendre multiwavelets as orthonormal basis functions and expressed in operational matrix form. The most important feature of this method is that its CPU time is nearly invariant when monitoring dates increase. Besides, the rate of convergence of presented algorithm was obtained. The numerical results verify the validity and efficiency of the numerical method.
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