  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.
