Results 31 to 40 of about 181,599 (266)
An Analytically Modified Finite Difference Scheme for Pricing Discretely Monitored Options
MathematicsFinite difference methods are commonly used in the pricing of discretely monitored exotic options in the Black–Scholes framework, but they tend to converge slowly due to discontinuities contained in terminal conditions. We present an effective analytical
Guo Luo, Min Huang
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Pricing Parisian Option under a Stochastic Volatility Model
Journal of Applied Mathematics, 2014 We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility
Min-Ku Lee, Kyu-Hwan Jang
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Mathematics, 2023 In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state ...
Xiangdong Liu, Zanbin Zhang
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, 2013 We use Lie symmetry methods to price certain types of barrier options. Usually Lie symmetry methods cannot be used to solve the Black-Scholes equation for options because the function defining the maturity condition for an option is not smooth. However, for barrier options, this restriction can be accommodated and a symmetry analysis utilised to find ...
A. H. Davison, T. Sidogi
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Reciprocal control of viral infection and phosphoinositide dynamics
FEBS Letters, EarlyView.Phosphoinositides, although scarce, regulate key cellular processes, including membrane dynamics and signaling. Viruses exploit these lipids to support their entry, replication, assembly, and egress. The central role of phosphoinositides in infection highlights phosphoinositide metabolism as a promising antiviral target.
Marie Déborah Bancilhon, Bruno Mesmin
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Semi-Analytical Pricing of Barrier Options in a Hybrid Model of Stochastic and Local Volatility
MathematicsIn this paper, the valuation of barrier options is studied when the underlying asset is driven by a hybrid model of stochastic volatility and constant elasticity of variance. Using an asymptotic expansion approach and the Fourier transform method, a semi-
Jiling Cao +3 more
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E-Jurnal Matematika, 2018 The purpose of this research is to compare the selling price of down and out barrier option when the prices are simulated by the Antithetic Variate Monte Carlo and the standar Monte Carlo.
LUH HENA TERECIA WISMAWAN PUTRI +2 more
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FEBS Letters, EarlyView.Fluorescent probes allow dynamic visualization of phosphoinositides in living cells (left), whereas mass spectrometry provides high‐sensitivity, isomer‐resolved quantitation (right). Their synergistic use captures complementary aspects of lipid signaling. This review illustrates how these approaches reveal the spatiotemporal regulation and quantitative
Hiroaki Kajiho +3 more
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Calpain small subunit homodimerization is robust and calcium‐independent
FEBS Letters, EarlyView.Calpains dimerize via penta‐EF‐hand (PEF) domains. Using single‐molecule force spectroscopy, we measured the strength and kinetics of PEF–PEF homodimer binding. The interaction is robust, shows a transient conformational step before dissociation, and remains largely insensitive to Ca2+.
Nesha May O. Andoy +4 more
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Journal of Mathematical Finance, 2020 We extend the binary options into barrier binary options and discuss the application of the optimal structure without a smooth-fit condition in the option pricing. We first review the existing work for the knock-in options and present the main results from the literature.
Min Gao, Zhenfeng Wei
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