Results 21 to 30 of about 204,697 (261)
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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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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Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices
Journal of Taibah University for Science, 2017 In this paper, we apply an improved version of Monte Carlo methods to pricing barrier options. This kind of options may match with risk hedging needs more closely than standard options.
Kazem Nouri, Behzad Abbasi
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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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Option Pricing using Quantum Computers [PDF]
Quantum, 2020 We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.
Nikitas Stamatopoulos +6 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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Skin Barrier Function: The Interplay of Physical, Chemical, and Immunologic Properties
Cells, 2023 An intact barrier function of the skin is important in maintaining skin health. The regulation of the skin barrier depends on a multitude of molecular and immunological signaling pathways.
Paola Baker +5 more
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First and second generation lookback and barrier options: enhancing pricing accuracy through Conditional Monte Carlo [PDF]
Risk Management MagazineThis paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods, introduced
Pier Giuseppe Giribone +1 more
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Long Combo strategy using barrier options and its application in hedging against a price drop [PDF]
Acta Montanistica Slovaca, 2012 This paper presents hedging analysis against an underlying price drop by Long Combo strategy using barrier options. Applicationof hedging results in SPDR Gold Shares is performed as well.
Vincent Šoltés, Martina Rusnáková
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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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