Results 11 to 20 of about 55,566 (250)
Review of Derivatives Research, 2003 This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications.
Guillaume, Tristan
core +7 more sources
The Boyle–Romberg Trinomial Tree, a Highly Efficient Method for Double Barrier Option Pricing
MathematicsOscillations in option price convergence have long been a problematic aspect of tree methods, inhibiting the use of repeated Richardson extrapolation that could otherwise greatly accelerate convergence, a feature integral to some of the most efficient ...
Guillaume Leduc
doaj +2 more sources
MathematicsWe study a triple of stochastic processes: a Wiener process Wt, t≥0, its running maxima process Mt=sup{Ws:s∈[0,t]}, and its running minima process mt=inf{Ws:s∈[0,t]}.
Karol Da̧browski, Piotr Jaworski
doaj +2 more sources
A numerical method for pricing discrete double barrier option by Legendre multiwavelet
Journal of Computational and Applied Mathematics, 2018 In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be evaluated by a recursive formula upon the heat equation solution.
Amirhossein Sobhani, Mariyan Milev
openaire +3 more sources
Robust Hedging of Double Touch Barrier Options [PDF]
SIAM Journal on Financial Mathematics, 2011 34 pages, 15 ...
Alexander M. G. Cox, Jan Oblój
openaire +5 more sources
Advances in transdermal siRNAs delivery: A review of current research progress
Non-coding RNA Research, 2023 Small interfering RNA (siRNAs) is a double-stranded RNA molecule which can hybridize with a specific mRNA sequence and block the translation of numerous genes to regulate endogenous genes and to defend the genome from invasive nucleic acids.
Albert Sufianov +5 more
doaj +1 more source
Pricing double-barrier Parisian options
IMA Journal of Management Mathematics, 2022 Abstract Parisian options are a useful real-option tool in risk management, particularly for corporate bankruptcy protection. However, in the past, only one barrier with the Parisian feature was studied in the literature, possibly due to the additional complication that arises with the co-existence of two barriers.
Liu, Chun-Yang +2 more
openaire +1 more source
Therapeutic targeting of Lyn kinase to treat chorea-acanthocytosis
Acta Neuropathologica Communications, 2021 Chorea-Acanthocytosis (ChAc) is a devastating, little understood, and currently untreatable neurodegenerative disease caused by VPS13A mutations.
Kevin Peikert +36 more
doaj +1 more source
Efficient option valuation of single and double barrier options [PDF]
AIP Conference Proceedings, 2017 In this paper we present an implementation of pricing algorithm for single and double barrier options using Mellin transformation with Maximum Entropy Inversion and its suitability for real-world applications. A detailed analysis of the applied algorithm is accompanied by implementation in C++ that is then compared to existing solutions in terms of ...
Stanimir Kabaivanov +3 more
openaire +1 more source
Optimal control of European double barrier basket options [PDF]
Journal of Numerical Mathematics, 2011 Summary: We consider European double barrier basket call options on two underlyings with an upper and a lower knock-out barrier featuring a finite number of cash settlements at prespecified values of the underlyings between the strike and the upper barrier.
Hoppe, Ronald H. W. (Prof. Dr.) +1 more
openaire +4 more sources