Results 31 to 40 of about 55,566 (250)
PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH [PDF]
Mathematical Finance, 1996 Barrier options have become increasingly popular over the last few years. Less expensive than standard options, they may provide the appropriate hedge in a number of risk management strategies. In the case of a single‐barrier option, the valuation problem is not very difficult (see Merton 1973 and Goldman, Sosin, and Gatto 1979).
Geman, Hélyette, Yor, Marc
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THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2014 We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double barrier options with American features.
APPOLLONI E +2 more
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, 2021 The authors propose an explicit closed-form approximation formula for the price of discretely monitored single or double barrier options with an underlying asset that evolves according to a one-dimensional Markov process, which includes diffusion and ...
Taylor, Stephen, Cui, Zhenyu
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Double barrier option under regime-switching exponential mean-reverting process
, 2009 In this paper, we study a double barrier option when the underlying asset price follows a regime-switching exponential mean-reverting process. Our method is a combination of analysis of a deterministic boundary value problem with a probabilistic approach.
Liu, R. H., Eloe, Paul W., Sun, J. Y.
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, 2016 In recent years, the Finite Moment Log Stable(FMLS), KoBoL and CGMY models, which follow a jump process or a Lévy process, have become the most popular modeling frameworks in the financial field because they can capture some of the important ...
Turner, I., Zhang, H., Liu, F., Chen, S.
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On Double-Boundary Non-Crossing Probability for a Class of Compound Processes with Applications [PDF]
, 2020 We develop an efficient method for computing the probability that a non-decreasing, pure jump (compound) stochastic process stays between arbitrary upper and lower boundaries (i.e., deterministic functions, possibly discontinuous) within a finite time ...
Dimitrova, D. S. +3 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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Double barrier option pricing for double exponential jump diffusion model. [PDF]
, 2008 Bao, Zhenhua.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.Abstracts in English and Chinese.Chapter 1 --- Introduction --- p.1Chapter 2 --- Literature Review --- p.5Chapter 2.1 --- Review of the Models --- p.6Chapter 2.1.1 --- Black-Scholes ...
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Design of green bonds by double-barrier options
Discrete and Continuous Dynamical Systems - S, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhang, Shuhua, Yang, Zhuo, Wang, Song
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An isoform of 14‐3‐3 protein regulates transbilayer lipid movement at the plasma membrane
FEBS Letters, EarlyView.Loss of 14‐3‐3ζ in CHO cells confers resistance to exogenous phosphatidylserine (PS) and impairs endocytosis‐independent inward flip‐flop of fluorescent PS at the plasma membrane. RNAi‐mediated knockdown reproduces this defect, while no additive effect is seen in ATP11C‐deficient cells.
Akiko Yamaji‐Hasegawa +3 more
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