Results 11 to 20 of about 204,697 (261)
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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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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Efficient BEM-Based Algorithm for Pricing Floating Strike Asian Barrier Options (with MATLAB® Code)
Axioms, 2018 This paper aims to illustrate how SABO (Semi-Analytical method for Barrier Option pricing) is easily applicable for pricing floating strike Asian barrier options with a continuous geometric average.
Alessandra Aimi +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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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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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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Optical blood-brain-tumor barrier modulation expands therapeutic options for glioblastoma treatment
Nature Communications, 2023 The treatment of glioblastoma has limited clinical progress over the past decade, partly due to the lack of effective drug delivery strategies across the blood-brain-tumor barrier.
Qi Cai +13 more
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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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Cogent Economics & Finance, 2019 In modelling financial derivatives, the pricing of barrier options are complicated as a result of their path-dependency and discontinuous payoffs. In the case of rebate knock-out barrier options, discount factors known as rebates are introduced, which ...
Nneka Umeorah, Phillip Mashele
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A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
Risks, 2016 This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study
Marcos Escobar, Sven Panz
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