Results 11 to 20 of about 181,599 (266)
Exponential Ornstein-Uhlenbeck model for pricing double barrier options in uncertain environment [PDF]
Mathematics and Modeling in FinanceOption pricing is a fundamental issue in financial markets, and barrier options are a popular type of options that can become valuable or worthless when the underlying asset price reaches a predetermined level.
Behzad Abbasi, Kazem Nouri
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Double-Barrier Parisian Options [PDF]
Journal of Applied Probability, 2011 In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.
Dassios, Angelos, Wu, Shanle
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Risks, 2018 The topic of bank default risk in connection with government bailouts has recently attracted a great deal of attention. In this paper, the question of how a bank’s default risk is affected by a distress acquisition is investigated.
Jyh-Jiuan Lin +2 more
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Mathematics, 2020 A barrier option is an exotic path-dependent option contract where the right to buy or sell is activated or extinguished when the underlying asset reaches a certain barrier price during the lifetime of the contract.
Marianito R. Rodrigo
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Wind Put Barrier Options Pricing Based on the Nordix Index
Energies, 2021 Wind power generators face risks derived from fluctuations in market prices and variability in power production, generated by their high dependence on wind speed. These risks could be hedged using weather financial instruments.
Yeny E. Rodríguez +2 more
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Investigation of the barrier options pricing models
Lietuvos Matematikos Rinkinys, 2009 In the article three methods of barrier option pricing are analysed and compared: Black–Scholes, trinomial ant adaptive mesh algorithm. Investigation with Lithuanian firm’s stock showed, that to get better results it is offered to adapt higer resolution ...
Rita Palivonaitė +1 more
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Revue of contingent capital pricing model using growth and barrier option approach with numerical application [PDF]
Mathematics and Modeling in Finance, 2023 This paper investigates the effects of contingent capital, a debt instrument that automatically converts into equity if the value of the asset is below a predetermined threshold on the pricing process of a bank assets’. A traceable form of the contingent
Fathi Abid, Ons Triki, Asma Khadimallah
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Analysing time-fractional exotic options via efficient local meshless method
Results in Physics, 2020 In this article, we analyse the numerical simulation of the time-fractional Black-Scholes model governing butterfly spread option, digital option and double barrier option.
Mustafa Inc +5 more
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PENERAPAN STATIC HEDGE DALAM PENGELOLAAN RISIKO PADA OPSI TIPE BARRIER
E-Jurnal Matematika, 2018 The barrier option is an option whose payoff depends on whether the underlying asset touches the barrier or not during the lifetime of the option. The determination of the barrier option requires a numerical approach, one of which is the Binomial Tree ...
NI MADE NITA ASTUTI +2 more
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Interest Rate Barrier Options [PDF]
, 2002 Less expensive than standard options, barrier options have become very popular in recent years as useful hedging instruments for risk management strategies. Thus far valuation approaches have largely focused on equity barrier options, where in certain instances analytical expressions may be available. In this paper we use Monte Carlo procedure to value
Barone-Adesi, Giovanni, Sorwar, Ghulam
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