Results 1 to 10 of about 204,598 (162)
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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A Cubic B-Spline Collocation Method for Barrier Options under the CEV Model
Mathematics, 2023 In this paper, we construct a new numerical algorithm for the partial differential equation of up-and-out put barrier options under the CEV model. In this method, we use the Crank-Nicolson scheme to discrete temporal variables and the cubic B-spline ...
Xiwei Yu, Qing Hu, Yudong Sun
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Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab® Code)
Axioms, 2021 In this paper, we extend the SABO technique (Semi-Analytical method for Barrier Options), based on collocation Boundary Element Method (BEM), to the pricing of Barrier Options with payoff dependent on more than one asset.
Alessandra Aimi, Chiara Guardasoni
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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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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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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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Mathematics, 2022 The price V of a contingent claim in finance, insurance and economics is defined as an expectation of a stochastic expression. If the underlying uncertainty is modeled as a strong Markov process X, the Feynman–Kac theorem suggests that V is the unique ...
Sergei Levendorskiĭ
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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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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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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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