Results 21 to 30 of about 181,599 (266)
Valuation of Barrier Options with the Binomial Pricing Model
Ratio Mathematica, 2016 Derivatives are products of different nature which are becoming increasingly common in financial markets. In certain cases, determining the assessment criteria can sometimes be a difficult task.
Salvador Cruz Rambaud +1 more
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Barrier Option Pricing in the Sub-Mixed Fractional Brownian Motion with Jump Environment
Fractal and Fractional, 2022 This paper investigates the pricing formula for barrier options where the underlying asset is driven by the sub-mixed fractional Brownian motion with jump.
Binxin Ji, Xiangxing Tao, Yanting Ji
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American Barrier Option Pricing Formulas for Stock Model in Uncertain Environment
IEEE Access, 2019 In the foundation of uncertainty theory, uncertain stock model has been put forward to portray the price fluctuation of stocks in a market with uncertain information.
Rong Gao +3 more
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Barrier Options and Greeks: Modeling with Neural Networks
Axioms, 2023 This paper proposes a non-parametric technique of option valuation and hedging. Here, we replicate the extended Black–Scholes pricing model for the exotic barrier options and their corresponding Greeks using the fully connected feed-forward neural ...
Nneka Umeorah +3 more
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Step Double Barrier Options [PDF]
The Journal of Derivatives, 2010 Barrier options are common in the market and a variety of procedures exist for efficient valuation of the plain vanilla varieties. But simple structures do not fit all investors’ preferences and needs, so more complex barrier options are also regularly traded. An important class is step double barrier contracts, which have barriers both above and below
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Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation
Journal of Management Science and Engineering, 2017 The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the
Nian Yang, Yanchu Liu, Zhenyu Cui
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The valuation of barrier options under a threshold rough Heston model
Journal of Management Science and Engineering, 2023 In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional ...
Kevin Z. Tong, Allen Liu
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Volatility Timing: Pricing Barrier Options on DAX XETRA Index
Mathematics, 2020 This paper analyses the impact of different volatility structures on a range of traditional option pricing models for the valuation of call down and out style barrier options.
Carlos Esparcia +2 more
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Progettazione, validazione ed implementazione di un modello reticolare avanzato per il pricing di un Flexible Forward su valute [PDF]
Risk Management Magazine, 2019 The purpose of this article is to illustrate the pricing model for Flexi-Forward contracts written on currencies through the use of an advanced lattice approach, called AMM – Adaptive Mesh Method. Flexi-Forward, also known as time-option forward contract,
Pier Giuseppe Giribone, Paolo Raviola
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Mendel, 2022 Black-Scholes (BS) equations, which are in the form of stochastic partial differential equations, are fundamental equations in mathematical finance, especially in option pricing.
Werry Febrianti +2 more
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