In this Article, a fast numerical numerical algorithm for pricing discretedouble barrier option is presented. According to Black-Scholes model, the priceof option in each monitoring date can be evaluated by a recursive formula uponthe heat equation solution. These recursive solutions are approximated by usingLegendre multiwavelets as orthonormal basis functions and expressed inoperational matrix form. The most important feature of this method is that itsCPU time is nearly invariant when monitoring dates increase. Besides, the rateof convergence of presented algorithm was obtained. The numerical resultsverify the validity and efficiency of the numerical method.
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