Results 1 to 10 of about 55,477 (149)
Numerical valuation of discrete double barrier options
Journal of Computational and Applied Mathematics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mariyan Milev
exaly +3 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
openaire +3 more sources
Fractal and Fractional, 2023 After the discovery of the fractal structures of financial markets, enormous effort has been dedicated to finding accurate and stable numerical schemes to solve fractional Black-Scholes partial differential equations.
Samuel Megameno Nuugulu +2 more
doaj +1 more source
Frontiers in Psychiatry, 2022 The increasing prevalence of illicit stimulant use among those in opioid treatment programs poses a significant risk to public health, stimulant users have the lowest rate of retention and poorest outcomes among those in addiction treatment, and current ...
Christopher S. Stauffer +8 more
doaj +1 more source
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
Analysing time-fractional exotic options via efficient local meshless method
Results in Physics, 2020 In this article, we analyse the numerical simulation of the time-fractional Black-Scholes model governing butterfly spread option, digital option and double barrier option.
Mustafa Inc +5 more
doaj +1 more source
Neurotrauma Reports, 2021 Repeated traumatic brain injuries (TBIs) cause debilitating effects. Without understanding the acute effects of repeated TBIs, treatment options to halt further degeneration and damage cannot be developed.
Celeste Dunn +5 more
doaj +1 more source