Golbabai, A.; Ballestra, L.; Ahmadian, D. - In: Computational Economics 44 (2014) 2, pp. 153-173
We develop a highly accurate numerical method for pricing discrete double barrier options under the Black–Scholes (BS) model. To this aim, the BS partial differential equation is discretized in space by the parabolic finite element method, which is based on a variational formulation and thus...