Results 1 to 10 of about 181,500 (167)
Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices
Journal of Taibah University for Science, 2017 In this paper, we apply an improved version of Monte Carlo methods to pricing barrier options. This kind of options may match with risk hedging needs more closely than standard options.
Kazem Nouri, Behzad Abbasi
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On Barrier Binary Options in the Telegraph-like Financial Market Model
Computation, 2022 The article continues the study of the market model based on jump-telegraph processes. It is assumed that the price of a risky asset follows the stochastic exponential of a piecewise linear process, equipped with jumps that occur at the moments of a ...
Nikita Ratanov
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A Valuation Formula for Chained Options with n-Barriers
Journal of Mathematics, 2022 This study examines chained options that are connected in the sense that another barrier option becomes active continuously after the underlying asset price crosses a primary barrier. These barrier options have several advantages.
Won Choi, Doobae Jun, Hyejin Ku
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Systematics of the Coulomb barrier characteristics resulting from M3Y nucleon-nucleon forces for reactions with heavy ions [PDF]
Известия Саратовского университета. Новая серия: Физика, 2023 In the literature, often the capture cross sections for spherical heavy-ions are calculated by virtue of the characteristics of the s-wave barrier: its energy, radius, and stiffness. We evaluate these quantities systematically within the framework of the
Gontchar, Igor I. +2 more
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Analysis of Nova 1 strategy formed by barrier options and its application in hedging against a price drop in oil market [PDF]
Acta Montanistica Slovaca, 2015 This paper investigates hedging analysis against an underlying price drop by using the Nova 1 strategy formed by standard vanilla and barrier options. There are used European down and knock-in put options together with barrier call options.
Michal Šoltés, Monika Harčariková
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Barekeng, 2023 In this paper, we applied the standard Monte Carlo, antithetic variate, and control variates methods to value the double barrier knock-in option price.
Romaito Br Silalahi +2 more
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Cross-Border Lending, Government Capital Injection, and Bank Performance
International Journal of Financial Studies, 2019 In this paper, we develop a contingent claim model to examine the optimal bank interest margin, i.e., the spread between the domestic loan rate and the deposit market rate of an international bank in distress.
Jyh-Horng Lin +3 more
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E-Jurnal Matematika, 2018 Barrier option is an option where the payoff price depends on whether or not the stock price passes the barrier during its life time. The aim of the research is to compare the convergence between conditional Monte Carlo and antithetic variate methods in
NI LUH PUTU KARTIKA WATI +2 more
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A Barrier Option of American Type [PDF]
Applied Mathematics & Optimization, 2000 This paper deals with the stock price-per-share \(S(t)\) which is assumed to satisfy the standard model \[ dS(t)=S(t)[r\,dt+\sigma \,dW_{0}(t)], S(0)=x\in (0,h), \] of Merton (1973) and Black and Scholes (1973), with \(r>0\) the prevalent interest rate of the risk-free asset (bank account), \(\sigma>0\) the volatility of the stock, and \(W_{0}(t)\) a ...
Karatzas, I., Wang, H.
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Studio e Progettazione di un sistema di pricing e di gestione del rischio per il prodotto strutturato EAKO – European American Knock-Out option [PDF]
Risk Management Magazine, 2020 The study describes a framework based on stochastic trees and Monte Carlo methods able to compute price and greeks of a European-American Knock-Out deal (EAKO).
Mattia Fabbri, Pier Giuseppe Giribone
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